It appears that step to u3d conversion represents a translation of 3d graphics saved in ISO STEP format (.stp, .step) to a Universal 3D format graphics (.u3d). Apparently, such export is possible and can be done with some of the dedicated 3D conversion tools, such as PolyTrans. But perhaps more tools that can export or convert step to u3d exist.
Open STEP file Open U3D fileA 3D CAD translation software