This video by MiRai demonstrates why a Mapped Key Step Action is useful, and how someone might set one up.
A Mapped Key Step Action is used to adjust the current Step of a Mapped Key. It can be set to a specific Step, or adjusted relative to the current Step.
Note that this action does not perform the Actions in the specified Step of the Mapped Key. Rather, the next time that Mapped Key is invoked, either by Hotkey or a Do Mapped Key Action, the actions in the specified Step will be performed.
One example use for this Action is to synchronize the current Step in multiple windows, since the current Step is kept per-window.