The STEP mode is for adding steps manually.
In STEP mode when you press a note on a MIDI keyboard it will be automatically selected as the input note. So press note on MIDI keyboard and press on what step you want it on the Pyramid (Pyramid also listens to the velocity).
If you want Pyramid to record that note to the pattern from the MIDI keyboard, then for that you have LIVE mode. Go into live and activate REC. When you press a note from your MIDI keyboard, it gets recorded now into the pattern.
Hope this helps;)