With the BeatStep plugged in, go into the Ableton Live MIDI settings.
I set Control Surface to None, Input = Arturia BeatStep, Output = Arturia Beatstep
Now you will see (lower down in the options window) Input and Output options for the BeatStep.
For Input, Track = On, Sync = Off, Remote = Off
For Output, Track = On, Sync = On, Remote = Off.
Now if you put the BeatStep into Ext Sync Mode, it will start playing a sequence when you hit play on the transport in Live.