Dan my best guess would be that it is the pipe for the eshaust steam coming from the winch. We have a similar winch in the yard at McEwen and when we ran it many years ago, (late 70's early 80's)we ran a shorter pipe up from the steam cyclinder that drives the winch.
If memeory serves me correctly, the control lever is on the other side of the winch. Look at the photos of the no 3 with the engineer sitting by the winch. You can see the control lever next to him. Also J.B. Bane sent me some pictures of another engine that clearly shows the exhaust pipe from the steam winch extending above the boiler. I could include that photo if I only learned how. Maybe he could post that photo.