No luck so far...

Hi, I'm not familiar with a Step-by-Step question is, but that question type doesn't exist in Qualtrics. The question type in your first screen shot is a Side-by-Side question. In that question type, the first column is reserved for static or piped text; it is not designed for a drop-down selection.
What you might do is change the default text in the first column to "1.", "2.", "3.", etc. and change the question type in the second column to Scaled Response / Drop-down list, as shown below.

thanks for the feedback!