For the Keystep to be able to send MIDI notes to both ST and DT, you need a chain like
KS MIDI out → ST MIDI in / ST MIDI thru → DT MIDI in.

If you want ST to be the master in such config, be sure to set MIDI sync and transport to off on ST, and plug ST MIDI out to KS MIDI in. But I’m not 100% this works correctly, to be tested.

Now when you have 3 boxes or more, a USB MIDI hub (e.g. mio4) begins to be very handy, it makes such routing way easier.

Alternative setup that might be more effective:

KS → DT thru → ST out → KS
With ST transport and sync in disable.