You are most likely lacking the HPE Functional Testing Agent add-on for your Chrome browser. It might be present and not enabled as well.
Click on the Settings option for Chrome in upper right menu. Varies on version, but for 59 should be 3 vertical dots. In older Chrome, Settings page would have the Extensions. In newer and current Chrome, go to the ''more Tools'' option to see another set of menu drop down items. There should be Extensions. Or can just enter chrome://extensions for your URL.
Once Extensions page is open, look for HPE Functional Testing Agent. If there, make sure Enabled. If not there, scroll to bottom of page and select ''Get more extensions'' and search and install the HPE Functional Testing Agent extension.
After that is enabled, you should be able to step capture just fine in Chrome.