so what is your prob?
1) you have your Kicad board and you can see it in internal 3D-viewer
2) you have a FreeCAD 3D MCAD model of your board and parts both in native FreeCAD file and in STEP format
then ... you are not able to see VRML exported file with parts?
that is really strange ... anyway as I told you you may share the board with the forum or with me to check your internal 3D config... or you may create a test board with i.e. two or three components and do the same conversion for that and see if you have the same prob ... then send that test board...
1) STEP file is a mechanical file for MCAD interchange ... not mainly for artistic rendering ....
2) I though you were asking help to interchange STEP data (that is the title of your thread)
3) you are visualizing the FreeCAD wired interface... changing to 'Shaded' will please you a bit, but still you are not in the right path ... kicad StepUp is a set of tools for MCAD interchange ... if you need just a realistic rendering try to learn Blender...
that image is done with Blender using all models coming from kicad StepUp....
Also Altium does not export copper or silk
Because Altium does not export either copper or text, the file size is
reduced without losing mechanical information about individual objects
on the board.
so there is no point in having that, unless you are focused on photo realistic rendering