When I try to export a PCB from PCBnew into a STEP file and then subsequently import it into Solidworks I get all kinds of funky stuff. Sometimes majority of components show up with errors in the tree and are not showing up in the model itself. Sometimes all the the parts get replaced with a single random model (like resistors get replaced with a chip model or something to that effect). In short - it is messed up. I do have all the models for the components in step format.
As a work around I've been using the following sequence. Open the exported file from KiCad in FreeCAD, export it into STEP again from FreeCAD, then open that STEP in Solidworks. The file would still have some weird things in it, but at least it will open and you can us it in an assembly.
I did submit a bug report Feel free to vote it up by clicking on "this bug affects me"...if it actually does.
Just noticed something in the bug description. Apparently, I was trying to include STEP file into maniacal assemblies May be that was the problem in the first place?