I suppose temping immediately after steaming can be machine dependent; it's been forever since using an HX with a too small boiler. It was very much a non-issue in my old Livia 90; and still is in my current machine.
First, try to remember that the brew water in an HX's HX, and the water/steam in the boiler are two different things; and that the boiler water isn't all there is to temping. Things like mass and design of the brewpath; volume and design of the HX; where the HX is placed, whether you have a thermosyphon group or not, play a big role in when and how best to do your cooling flush/temping rituals.
If you're working with a very small, slow boiler, and have some religious need to steam before brewing, I suppose you might want to wait until the boiler pressure is up to whatever you consider appropriate before starting the cooling flush and temping ritual; but... Please don't take my word for it, and don't enslave yourself to what someone -- anyone -- tells you is the theoretical best. The real answer to this stuff is to try everything and see what works best for you.
And really! Doesn't common sense dictate that if your machine won't comfortably do steam before shot that you ought to brew before frothing?
In my opinion -- which is just an opinion -- the whole milk before pull thing is misguided anyway. If the quality of a cappa or latte suffers greatly while the shot waits 40 seconds (for a very slow-steamer), I sure as heck can't taste it. Remember that no matter how hot and fresh the coffee, you're going to dilute it with milk -- milk which has its own temperature. On the other hand, when milk sits around for more than 20 seconds or so it loses its perfect texture and becomes decidedly lesser.
The shot before milk sequence works best with my stable temp/fast steam machine; and was also what was taught in "Barista Training Class." Whether it's best for your La Valentina is another matter. Given its combination of an E-61 group and adequate boiler size, I think it will be.
One last thing. The barista's rule is "basket to gasket, finger to ringer." That is, the amount of time from grinding to drawing the shot should be minimized as much as possible. However, reality trumps theory. My best results with the Casa come with doing the cooling flush after dosing and tamping the pf, so that's what I do; but do it as quickly and smoothly as possible. Getting to your specific proposed steam-first sequences, you should probably
either (1) flush, build, pull and steam; or (2) build, flush, pull and steam.
The decision on how to flush should be based on what the thermal properties of your machine dictate, not on what someone else may do on a machine that behaves differently.
As already said, I build, flush, pull and steam; but guess -- after trying everything -- because of your E-61 group, you'll probably flush, build, pull and steam.
Let us know,