This issue is already reported to our development team and they are looking into this.
In AutoCAD Architecture you can only import FBX, 3DS, SAT, FBX, IGES, WMF, and DGN formats. Unfortunately, Step format is not supported. In AutoCAD and AutoCAD Mechanical you can import many more file types including STEP.
The help section discussing Step import is related to AutoCAD basic 2012 and not the AutoCAD Architecture version. Even if you select Help in AutoCAD Architecture, this particular section will redirect you to the AutoCAD 2012 help.
Hence I would suggest you can provide feedback about feature enhancement through the link below. This would help us to analysis your feedback and use it for development. To provide feedback please follow the below link:
http://usa.autodesk.com/adsk/servlet/index?siteID=123112&id=1109794
Providing feedback for the product will help the development team to review them and help them to enhance the product in future.
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Shiny Stephen
Support Specialist
Product Support
Autodesk, Inc.