Do I need to slope my ceiling for a steam shower? Why? If I don't what are the risks?
The risk of not sloping the ceiling is condensation dripping down on you. Uncomfortable, but not disastrous. A lot of people find that not to be a problem in a small residential steam shower.
Are you familiar with installing steam showers? If so, can I use wonderboard in a steam shower?
Check with your building officials, the ceiling slope may be required by code.
One tip, even if you do slope the ceiling (2" per foot minimum), if you tile it and have a lot of grout lines, the grout lines can catch the condensate and become "drip" lines.
You can use wonderboard in a steam shower. But I do recommend, and I mean I HIGHLY recommend, using a topical vapor membrane over the wonderboard and then tiling right on the membrane.
Kerdi is my primary membrane in steam showers. An alternative would be a roll or trowel-on membrane that is not only waterproof, but vapor proof too.
Also, take a look at Noble products for the shower. The Noble Seal TS can be used with modified thinset which is recomended for steam showers and has a great perm rating as well. Good luck with the project!
Thank you both for your advice. So many details!