Hi,
You are adressing an interesting issue. Even older coal fired electric power plants did have filters to minimize emissions. Actually it was the increasing size of electric power plants which drove the development of dust filters as well as technologies to prevent sulphorous and nitrogenous emission. Because of the large size of the plants, size and weight of the filters and washer towers was never an issue. The technology has been reached a stage, that modern state of the art power plants practically do not emit anything but carbon dioxide and water.
With museum life steam trains, the smell of coal smoke is part of the experience, anyhow. Since they are usually operating during weekends and holidays only, overall amounts of pollutants emitted are minimal. Anyhow, most museum trains are operated in remote areas where pollution levels are generally low.
Accordingly, there should be little reason for concern by regulatory agencies. Nevertheless, in the eastern states of Germany there are still a number of narrow gauge lines operating steam trains regularly for touristic reasons. Many of their locomotives were converted to burn the light heating fuel used by household furnaces. The same applies to a number of rack and pinion steam locomotives, recently built to old plans but using modern (e.g. welding) technologies to continue operation of touristic rack and pinion lines in the austrian and swiss alps as the old original locomotives were just too much worn out.
Nitpicking by overzealous environmentalists has therefore not had much impact on the operation of steam trains. Let us hope it stay that way.
I should add that the motive for switching to fuel oil was not only the wish to reduce emission of pollutants but also the easier handling of boilers operated by liquid fuel as well as cost and increasing difficulties in obtaining locomotive coal.
Cheers,
Konni