You are describing the usual radiator air vent. the air is supposed to come out of the little hole at the top. When the steam hits the inside diaphragm, the hole is closed off. Turning the dial regulates the timing of the steam getting to the vent by regulating air release from the radiator and/or moving the shut-off closer or farther away from the hole inside.
This action also depends upon the timing of the steam reaching the radiators, which is related to the pressure in the system. If the steam 'comes up' (is generated) too quickly by too high a firing rate, the timing will be off. Also if the pressure is allowed to climb too high too quickly, the timing will be off. The old steam systems were designed for a 1 psig pressure - sometimes the steam control is set too high.
If the steam takes more than 10 minutes to fill the entire system and the pressure remains around 1 psig, then the air vent may have to be changed. As this timing is unique to every system, you will have to 'play with' the vents to get them to all heat properly at the same time. There are more sophisticated vents available that work upon room temperature sensing. You would want to ask your local plumbing/heating supplier which ones they carry.