It seems to have 4 parts but not in an assembly. Maybe you could turn it into an assembly using CAD then either open it directly if that works, or use File -> Split STEP assembly.
In the next version (29), the Split STEP assembly tool will be able to pull out the 4 parts so you can import them, or it might be able to read them all directly.
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In the next version (29), the Split STEP assembly tool will be able to pull out the 4 parts so you can import them, or it might be able to read them all directly.