Hydrostatic head, which Martin describes, is not relevant to a pressure-gauge on a pressure-value such as a boiler or compressor reservoir.
So the pressure transferred from boiler to gauge is the same in both, and the gauge is indeed full of air not steam.
As Duncan says, the pressure gauge itself is isolated from the hot steam by a syphon or a coil that soon fills with water (the initial vapour into it, condensing); to keep it cool.
The “syphon” is usually just a U-tube but can be a single-turn coil, and in some full-size applications is a neat “halo” right round the gauge’s cylindrical case.
The gauge is normally on a vertical plane, or at least steeply inclined, so the Bourdon tube itself stays empty of water- though the lengths Martin encountered in a test-laboratory are as he says, extreme!