Thank you for your kind words and your feedback testing my procedure. I spent several hours carefully thinking through and modifying what I though at first would be just a couple of steps… I hadn’t actually walked myself through with a live exercise of converting. So, again, thank you for being my guinea pig. 
Check to make sure your 3D viewer is actually being told to render objects. Under “Display Options” in the 3D viewer Preferences menu:
One thing about the 3D model settings, and why in the supplied 3D objects you see both a .wrl and a .step for each filename. The .wrl can create a pretty rendering with colors similar to real life (if designed properly), but because it is a mesh format it doesn’t work well for integration into MCAD workflows. (Aligning holes in housing to components on the board.) The .step files work really well for MCAD workflows, but doesn’t really support colors, so will render as a matte gray object.
If you decide to use 3D objects, the suggested method is to have both a pretty .wrl and a CAD accurate .step, both with the same filename. Have the 3D object pointer in the footprint definition pointing to the .wrl for pretty pictures in the 3D viewer. The STEP output will automatically replace the .wrl extension with .step when collecting objects for output.
@maui’s StepUp plugin (for FreeCAD) is also expecting this configuration both for import (to FreeCAD) and export (from FreeCAD). Read here about it:
I’m no expert in StepUp, nor in FreeCAD, but I have successfully created a .wrl with close to real colors from a manufacturer’s .step file. I don’t know if I did it correctly, but it involved tediously selecting faces and assigning colors. Then mapping the assigned colors to StepUp’s suggestions for textures when exporting from FreeCAD to KiCad.