If you have 5 parts visible in your workspace and you export in STEP format, you are exporting only those parts. Sketches are not exported. Sketches are essentially disconnected from the bodies anyway. After you compete a body, the sketches are there for reference only.
FWIW, I recently exported some parts in STEP for a customer who then imported into Rhino. I’m not sure what translations are involved at the Rhino end but I can tell you that some of my geometry got distorted. In the pic below, the left image is a section of two parts and the right represents what Rhino sees. I don’t think your issue is at the Shapr3D end.
