[Dan Zollman]

You're not missing anything. The STEP files contain the location of the parts but not the mechanical relationships between them.

If you want your overall assembly to be functional or realistic, it's best to constrain the parts in the STEP file manually.

You could also ground all the parts in the assembly as a quick solution (that is, make this a subassembly and ground the parts on the subassembly level), but that's more visual than functional since it still doesn't reflect the actual constraints.