Yeah, I've noticed that too. I went through the manual to see if I missed something, but don't remember what it said now.
After trial and error I worked out to tie notes you need to press the tie button for the number of steps you want to tie, eg: you want to tie two steps, you play and hold the notes then press the tie/rest button twice, to tie four steps you have to press it four times, etc...
This is odd, it's like we need to tell the Keystep each step that is being tied, not between which step to tie.