ChitownTim, you must be sending play/stop messages from another source onto the Keystep as it won't start if it doesn't receive a start message. I have set up my MIDI path so that the Keystep is constantly receiving (and sending) MIDI timing. It starts when I press play on another sequencer or if I press play on it. If I don't want it to keep starting when I press play on a sequencer up stream from it, I need to filter realtime messages from the MIDI signal, which would mean no MIDI sync for the Keystep or anything between it and the filtering device.
Oh yeah, my MV8000 has the capacity to start, pause, continue, stop via MMC, but you know what? It doesn't do it. Not a single thing I own that can run on MMC will work properly using only MMC. Not the QY-700, not the MV8000 and not the E-MU e5000 ultra. When I first got the E-MU, a friend who was running a DAW mentioned that MMC is really for controlling things other than instruments as it doesn't send synchronisation data. It's a waste of bandwidth to use send it to anything other than a multitrack, he reckoned.