As far as I know, all models in the official KiCad 3D library have or at least should have both vrml and step versions. If the wrl file is not found, that’s a different problem.
So, probably these are two separate problems. It’s not anything new that some of the footprints in the official library don’t have the corresponding 3D models (see Why a footprint points to a 3D model but the model file doesn't exist?). But IMO not having a STEP file for the model which exists as a vrml model shouldn’t happen in the official libraries. It’s of course possible that you have components from libraries which are not the official KiCad libraries, but we can’t tell if that’s the case unless you attach the whole project folder in a zip file here and tell what’s in the external libraries.