Do you have another CV/gate synth you can test your Keystep with? Do you have another CV/gate sequencer/keyboard you can test your SH-2 with? Do you have a multimeter and know how to use it or know someone who does?
After some research I've found a manual for the SH-2 and discovered the specs for it's CV interface. It says it needs a minimum of +7.5v for the gate which is unusually high. The pitch is in more often used 1v/Oct. Knowing these two details try setting the Keystep to V-Trig (12v) Gate and V/Oct Pitch CV.
Thinking about this problem of testing gear, it would be nice is there was some software for a computer (or better still a mobile phone) that could send gate and CV signals out via the headphones jack. It could work using the left channel only so a splitter would not be required or on both if the user has a splitter. It's always easy for a user to get a multimeter and quickly learn to use it, but gaining access to a source of controlled voltages is a lot harder if they only have the one CV/gate sequencer/synth.