If you set the Keystep to arpeggio mode then hit start but without playing any keys, it'll send the start data but no note data. Now if you change it to sequencer mode while the arpeggio is silent running, it'll start the sequence selected, but unless you get your timing right it'll be out of time. If you stay in arpeggio mode and play a chord, again timing is important, but it'll be easier to get your arpeggio in time.
There is a guy going by the name of Touchprone on eBay who is selling MIDI start/stop triggers that you can put into your MIDI chain after the Keystep that will allow you to send start/stop data without starting the Keystep, though you will need some sort of MIDI timeclock generator to feed it timing data as the Keystep doesn't send timing data when stopped.