I've got a limited number of solar panels and grid batteries that don't last enough as of now.
Wind turbines seem to be unreliable and I'd need to have a lot of them (40 atm is definitely not enough) and you need to run so much to get them built.
Steam power (basic recipe) seems to have a negative energy loop considering the production/consumption of oxygen

Do I miss anything? Is it a part of a challenge to be constantly under-powered at this stage?

I've got a limited number of solar panels and grid batteries at the beginning of the game that are insufficient as of now (solars make 3mw while I need >10-20mw).
Wind turbines seem to be unreliable and I'd need to have a lot of them (40 atm is definitely not enough) and you need to run so much to get them built.
Steam power (basic recipe) seems to have a negative energy loop considering the production/consumption of oxygen

Do I miss anything? Is it a part of a challenge to be constantly under-powered at this stage?

To some degree it is part of the challenge, but please consider the following.
'Surge' buildings only work when there is sufficient power thus in the case of fluid/gas generation you can take their production and pump it into tanks.

Its the same kind of concept as vanilla solar/accumulators. You need to store enough to get through the input low, but have enough production to outshine consumption so it can replenish during the input high.

Steam is unlocked under a technology called energy storage, not energy production. It's not meant to be a net power generation method. It wouldn't make any sense by the laws of thermodynamics that you gain energy just be splitting and then recombining water molecules. But the key is that you can split the water when your wind turbines randomly have a surplus of energy, and then use that energy later when wind turbines randomly have below average power output. It's a method of storing energy, like a do-it-yourself accumulator. If you install the Informatron mod there is some discussion of this topic. It's also touched on in the FAQ here on the mod portal.

Once you get your energy storage sorted out, you will probably need a lot of wind turbines. 40 is decent, but more might help. Energy is hard to come by in the mechanical engineering stage. In the next technology tier, you will gain access to solar, geothermal, compressed gas energy storage, your wind turbines will get 3x better, and your larger power poles will reach exactly the distance you need to have only 1 per wind turbine.

I'm having a blast with this fantastic mod (one third into chemistry science stage), but I had the same issue during that earlier stage. Wind turbines are actually pretty reliable as far as wind is concerned, but their interaction with the rest of the grid is non-intuitive.

I think the biggest problem in mechanical science stage was that wind turbines wouldn't power surge equipment during the night. Because of how wind turbines work, solar panels were the only thing keeping accumulators from going from 100% charge to 99% charge. During the night however, accumulators go to 99%, wind turbines provide only as much power to keep them from depleting, but now surge electrolyzers notice the no-more-excess-power-state and stop drawing power for a moment. With the lowered energy consumption wind turbines appeared to provide lower power despite there being enough wind, and just enough power so nothing would brown-out except surge electrolyzers and accumulators(still at 99%). This death spiral knocked out all surge equipment during the night, so I first suspected lower wind levels at night-time being a quirk of this planet. To compensate, I built over 120 wind turbines without success. Eventually I gave up and looked into the code. Apparently surge stuff doubles as accumulators and doesn't charge itself properly while regular accumulators aren't full, but wind turbines don't care about those things unless some solar panels magically keep the regular accumulators topped at 100%. I deconstructed almost all solar panels and/or accumulators to test this hypothesis, but since surge electrolyzers also count as those the wind turbines would still refuse to cooperate.

It was the weirdest spectacle seeing all 120+ wind turbines and 6-8 surge electrolyzers turn off every single nightfall once solar hit 0 kW. Replacing all non-steam-storage electrolyzers with priority ones fixed the issue. I suspect it will also work for you since 40 wind turbines sounds just about powerful enough to keep them running nonstop if you still support them with your surge-steam-turbine-reserve grid for the occasional nightly lull.

tl;dr: wind turbines and surge eletrolyzers don't cooperate during night no matter the wind situation. Use priority for main base, use surge for day-steam-storage only.

Wind turbines provide power of the same priority as solar, and surge equipment consumes power with the same priority as accumulators. So wind turbines and surge equipment will work fine at night, the same as solar and accumulators, if you have enough wind. One problem is that wind has a bit of a day night cycle itself and tends to peak in late afternoon, so there is often some overlap between times of no wind and times of no sun, though it is not as predictable of a pattern as solar.

When playtesting all electrolyzers were surge electrolyzers. They can be used not just for energy storage but for production as well, as long as you know what to expect. It works just fine as long as you have tanks to buffer it, so they can run when the winds are high. If they aren't producing often enough to meet demand then you need more wind turbines.

Haxxibal, could you provide a save or something? In my experience surge electrolyzers worked just fine at night when I had excess wind energy, allowing me to store excess power whenever it was generated.

I'll gladly provide some saves if I knew where and how.

Just now I did a few experiments. First I built two experimental grids to compare them again. 16 wind turbines, one filtration plant, one distillery each, but one runs two priority eletrolyzers and the other one surge eletrolyzer. Everything worked as expected, both setups performed equally well. It really works as intended in the statistic tab.

But checking the wind turbines made me realize they provide power from an internal storage and that doesn't reflect the actual energy generation, only how much they are supplying.

I then looked into my save files and figured out that the large amount of wind turbines doubled as capacitors, but it never gave me any direct indication on the wind situation or their charge level. Once the wind goes away they run out, however, they won't be included into the available maximum power in the electric grid production tab anymore, so my power production went from a total 12 / 126 MW to a measly 12/12 MW. From here on the wind turbines still provided power internally towards anything in my base, except surge electrolyzers, but don't charge up reliably unless my solar panels came online again. This weirdly jump-started everything, as wind turbines charged up again, were included in the production tab and surge equipment started up again.

After some calculation I figured out that my power demand and supply from all sources was just about enough so a lull would have the steam turbines come to live normally as intended(but didn't due to the buffer that made it look like there was still sufficient wind). Also, I noticed the actual wind changes quite often, so the very first time this was the case it would theoretically kill off the delicate balance unless something was preventing it. Like, you know: solar panels. But only during evening and nights would this oddness show its dramatic symptoms, and only during dawn would it be able to restore itself equally quickly. Judging from the inflated power production tab numbers I had concluded that this problem must've been some kind bug, but I really underestimated just how often the wind changes. Adding more wind turbines just made it look worse. But I didn't add so many it wouldn't trigger the phenomenon during nights at all. In other words: Instead of "excess energy" spreading out all over the day it exclusively only occurred during nights, and at most of them, too. But checking the production tab always revealed the "wind turbines" suddenly shutting off at nightfall(going from ~17% nominal output to ~7%).

tl;dr: Wind turbines have a buffer, wind changes often, they provide power to surge stuff while discharging(but not when empty), built enough of them

Something to keep in mind is that wind or solar will only report as much power generated as is consumed. So if there isn't enough demand, it will appear to produce less. I usually test wind power output over long periods of time in a grid where there is more power consumption than they can satisfy, even during maximum wind. This gives a better idea of how much power is being generated.