Wouldn't "jen ŝtupo" sound more like someone showing someone else the step (as in, pointing it out physically or "introducing" the person to the step), whereas "estas ŝtupo" is the more general statement of "a step exists" (i.e. something you would see on a warning sign)?
Just seeing these replies now, I think. "Estas ŝtupo" means basically "a step exists". A year later, I'm feeling a little more forgiving of this sentence. "There is a step (here)" or "There is a step (in your way)" seems to be the intended meaning - and warnings by their nature are often brief.
If I were walking with you, I could certainly say "Atentu! Jen ŝtupo" as a gesture to a step ... to "introduce" you to the step that might cause you a problem.
When asking for attention in this manner you do not typically point out the location. You certainly could but even in English when we say "there is a step" we usually mean "a step exists" instead of "a step exists in that location". Often when we do rwfer to location we add that information as well, even though it can be understood without doing so. E.g. "There is a step there" or "there was a step there." This additional information is usually superfluous but lets other speakers know we are referring to location just like the Epseranto "tie estas ŝtupo"