STEP is not used to step between different JDAM types, it's used to step between different stations carrying the selected type - to be precise, between all stations carrying the selected type if QTY is unboxed, and between the selected stations if QTY is boxed and >1.
It's perfectly possible to carry several types of JDAMs simultaneously ingame but as you say it's not possible to select them simultaneously. They can, however, be all powered on and aligned at the same time (which is usually the case).