Our STEP export does not support exporting anything except shapes and colors. It doesn’t contain the copper, soldermask, or silkscreen layers. If you want those, you have two options:
One, export as WRL. This is what you probably want when making renders. It contains the silkscreen.
Two, use the kicad stepup workbench in FreeCad to import the file. It has an option to import the copper and silkscreen layers as geometry, which you can then export to STEP. Note that usually you do not want to do that, as the resulting geometry is very high complexity and slows down most applications that are designed to work with shapes.