I'll admit that some of the Keystep features are a tad obscure, but this one was easy.
To troubleshoot, I would advise:
1. Connect a MIDI cable directly from the Keystep <MIDI Out> to the synth/module/etc <MIDI In>
2. Set the Keystep to Channel 1 (<shift-key> + lowest note on keyboard)
3. Set the synth/module to Channel 1
4. ...for simplicity, use the Arp...set the switch, hit play and hold down some keys