You can use pretty much every kind of drinking water sealant that you would use in home installations. You DIY–/ Homework–market (I do not know the English word), normally has such stuff. Just make sure it meets three requirements:
- For drinking water
- Can be used with boiling, hot water
- Does not harden over time
There is no number one choice. I personally used plastic–fermit (which is used for home hat water drainages) with success. I do not even need tools to lock down threads, all are just tightened by hand and it opens easily again.
Usually the manufacturers use something that I would recommend to avoid like the devil the water: PTFE/ Teflon. This locks things down forever. One winding too much and you will break your thread when trying to open it.
Edit: As grease, I can recommend to use silicone. The thing I used on my current machine is by fermit again. If it does not get in contact with water, I would recommend using copper paste (for e.g. by Liqui Moly), which can be used up to 1.4k°C. You will need the grease only for the steam wand and hot water outlet. If you are unsure what to buy, search for (German/ DE) Amaturenfett or Hahnfett, which is safe for hot potable water and is used for bathroom fittings and similar.