You can’t record in step-mode, that’s what live-mode is for. In step-mode yes you can enter multiple different CC’s on a single “step” as long as they differ by the CC number and not just value. However remember that MIDI is always serial, so if you put 100 CC’s on first step of the bar, they’ll still trickle down the line one by one and for a large number of events this would take noticeable time. You can edit CC data with all the usual means, but on the Pyramid CC’s don’t have an offset, they’re always on a “step” of their own.
Just record the Rocket dump in live mode and put it into a dummy “count-in” sequence at the start of the song?