as the warning says, Step files don’t work with meshes, you have to “convert” meshes into nurbs first but that’s not as easy as it sounds. there are few tools to help in the process but generally it means remodel the object using the mesh as reference. is long, is tedious but is the best result.
Depending on the object you can try with Sub-d ( if the mesh is not too dense and made by evenly distributed quads) for more information you can search in this forum for “mesh to nurbs” or “reverse engineering” you will find some automatic tools/softwares out there but it doesn’t work too well.