"...especially for mod wheel, but I guess it will be stepped as this is a step sequencer..."
Well, Keystep Pro has already taken steps away from being "just" a step sequencer: The unquantized recording. So even if we are dealing with a relatively (in modern context) low resolution (is the internal resolution 24PPQ? Anybody knows?), we would just need a tiny bit of slew on pitchbend and modwheel to make it sound good.
So the question is probably, if the processing power is sufficient to deal with the added amount of data. A compromise could be, to only be able to enable pitchbend and modwheel data on one of the sequencers. Man, that would really be cool. (BTW: Hermod records pitchbend and modulation. :-D )