One more thing to check is that the steaming tip is tightly screwed into the wand. Even a slightly loose tip will leak steam past the o-ring significantly reducing steaming power. (I just tightened my tip and got much better steaming power).

Thanks for tons of great and interesting replies. Responses seem to vary roughly between having the same experience that I have when steaming and pulling a shot simultaneously and others who report no loss of pressure. I have descaled my machine but not for a couple of years, perhaps I should do it again. I actually find trying to pull shots and steam simultaneously creates another problem - my brain is not big enough to monitor both carefully enough!