Just to add that I heard back from Carson in DSI very, very quickly about this and he states:
"There is currently no ability to step record note data to any other track but track 1. The ability to step record note data to MIDI tracks is on our feature request list and I have added your vote to its tally. I, however, have no information regarding when/whether this would be implementable.
It's good to note that you can enter note data to a MIDI track by selecting the track and holding the button for the step you wish to enter note data to. Press a key on the key bed and you will see the played note entered to the step of the MIDI track. Repeat the process on different steps as needed."
So, the workaround is pretty cool. I can live with that!