There are 3 ways this error can happen:

1. There are no pipeline steps assigned to the pipeline (which you write is not the case).
2. None of the pipeline steps assigned to the pipeline is not enabled (as Vlad mentioned).
3. The pipeline step converter is returning null, or is not returning an instance of Sitecore.DataExchange.Models.PipelineStep.

You write that your converter is being called. Are you sure that it is returning a PipelineStep object?

There are 3 ways this error can happen:

1. There are no pipeline steps assigned to the pipeline (which you write is not the case).
2. None of the pipeline steps assigned to the pipeline is enabled (as Vlad mentioned).
3. The pipeline step converter is returning null, or is not returning an instance of Sitecore.DataExchange.Models.PipelineStep.

You write that your converter is being called. Are you sure that it is returning a PipelineStep object?