I agree that you just need to pay attention to what you're doing, as any exercise. I have heard of a few people getting hurt at my gym but that's seriously a few in over 6 years with several classes happening on a daily basis that may use a step.
Some pointers: always make sure you get your entire foot on the step. And you don't need to stomp on it; we shouldn't hear you coming!
. Also, make sure the step is either skid proof and/or on a none overly slippery surface. I think most steps have rubber edges on them which help keep them still.