wrl is a completely different file format to step. So much so that you really can not get a valid step file back from it. (There are ways to convert wrl to step but you loose all benefits of step that way. So it really is not worth the effort.)
wrl approximates the surface of a part using a number of triangles. This file format is intended for creating nice renders.
The approximation with triangles means that if you have a cylindrical drill in a block then that drill is no longer a cylindrical hole but a hole with polygonal footprint. (There is no unique way to get back to a cylindrical hole without knowing some additional information not contained in the wrl file.)
Step on the other hand is intended for communication between different MCAD programs. In theory you should not have any downside compared to using the native file format. (Of course you can not easily change step files but all other aspects should behave equal to the native format)
This means you can for example export step in one MCAD program and create manufacturing drawings in another. Or use the imported part in an assembly and set constrains as you would with a native part. All of this relies on a precise representation of all features of the part. (So a cylinder must stay a cylinder)