2017-03-09 by smw-mail@...
If you are playing notes on the CZ, sending them to the arpeggiator, which then plays the arpeggiated notes on the CZ, you need 2 midi connections (a) CZ midi out to arpeggiator midi in and (b) arpeggiator midi out to CZ midi in.
On the other hand, if you are triggering the notes from something else into the arpeggiator or having the arpeggiator serving as a note sequencer source without a trigger from another source, you just need (b).
This assumes you are attempting one of these uses.
I have used E-Mu gear (the Proteus 2000 line) in both of these configurations. I also (way back in the 80s) used a Korg DDD-5 drum machine in the first configuration with the DDD-5 in record mode. So, I played notes on the CZ-5000 which played drum sounds and recorded the midi notes as a looping pattern, which in turn played those notes on the CZ-5000.
I also did something like the first method, but with a twist: CZ midi out to C-64 as a midi data processor to CZ midi in.
Having looked at the Keystep manual, I'd say you should definitely be able to do what you want although the Keystep is more complicated than what I used and you would need to configure it's settings properly. It sounds like a cool piece of gear and I think once you figure out (1) the connections you want and (2) the right settings to use, you should be able to use it for a number of effects.
I hope this helps. I think it would be worthwhile figuring it out.
Steve