Milk is a staple in any household. It has many uses but in a cappuccino it has but 1 role, to be fluffy. When steaming milk with a commercial steam wand the superheated steam transfers heat to the cold milk increasing the milks temperature.
If it was only about the heat coffee shops
would heat milk in bulk, but a key ingredient is added
during the steaming process that only a coffee regular even
thinks about, air! 
By bring the stream wand to the surface of
the milk the force of the steam pressure forces air into the
milk creating a lighter fluffier milk. A skilled Batista can
then control the density of foam to accommodate to the
patrons wishes. In the cappuccinos case the goal is dense
foam with zero liquid milk.