I have this setup: steel fluid burning box, steel roasting oven on top, stainless steel drum on top and chests on sides. It blew up! I checked every machine description and it did not state that they explode, only melt. Why did this happen?

Yes, make a proper Roof and it will be prevented. One singular Block as a Roof will not be enough as it checks adjacent Blocks too, so make a 3x3 Roof above the Roaster at the very least.