Before you hook up your generator you're using electricity from the mains. If, as you say, the electricity is used only in your room then it ends up as heat and heats your room. For example the electricity used by your PC is expelled by the cooling fan as hot air and heats your room that way.
Because your room has been heated by the electricity you use, the temperature difference between the steam radiator and your room is lower, which means heating your room requires less heat from the steam and therefore your landlord needs to spend less on fuel.
If you don't use any electricity from the mains all the heat has to come from the steam. Some of the heat comes directly from cooling the steam, and some comes from generating electricity and (eventually) turning that into heat, but in the end it all comes from the steam. That means the landlord needs to burn more fuel to keep the steam at the right temperature, so you are taking the energy from the landlord.