If you open the MIDI control center and do a "sync" while a sequence is playing on the Keystep, the sync with will fail and the data (your sequences, etc.) can get corrupted.
The sync is done with MIDI 'sysex' and it seems to be that the sysex messages get mixed up with the sequencer notes when MIDI Control Center reads the Keystep memory.
To reproduce it:
a) Program a sequence, press the play button, turn tempo to max speed.
b) Sync the keyboard a couple of times in MCC and the sequence will be corrupted.
Solution: MCC should tell the sequencer to stop before doing a sync.
(yes, I've just lost an hour's work thanks to this bug)