For some steps that don't affect gameplay too much, you'll notice that Valve doesn't always put the player clips in. One I'm thinking of in particular is the steps leading out of the spawn rooms in Granary, before you actually leave the spawn "area". Since players always walk down those steps and they aren't in an actual combat zone, player clips were left out to maintain that "stepping" sensation.
For steps that are part of the main area of the map, you'll almost always want to include player clips for exactly the reasons Narkissus stated above. Another reason would be that the hitboxes for a player model will have a lot of rapid, jittery movement on non-clipped stairs, which isn't fun for gameplay.