I’ve added it as a Wish item:
https://mcneel.myjetbrains.com/youtrack/issue/RH-51255
When Rhino reads a STEP file, the surfaces that make up a designated closed solid are Joined. They are not Joined when using IGES.
If you need a Solid and don’t want to Join them yourself, the STEP advantage is Rhino tries to Join them for you.