If the current version of your design would actually include a linked component of the STEP file, it would show up in the browser with a chain link symbol. However, it doesn't!
I tested this just now.
I copied the STEP file into the directory :

It then showed up in the respective older in the Fusion 360 data panel.

I then saved a black Fusion 360 file under the name "Pallet Assembly F360 native".
Then I inserted the Pallet Assembly v8.step into that file and saved it.

There's the link symbol.
A little note here:
If the CAD system you are using to create the step file is directly supported by the AnyCAD functionality, there is no need to export a step. YOU can directly upload the native file. You can open the native format from the AnyCAD folder in the the native CAD systema , make change and save the file.
When you open the Fusion 360 file the design is linked into, you'll be prompted to update the Fusion 360 design.
I've done this with entire assemblies that were designed in SolidWorks!