Step points appear to be how IAR describes executable statements. For example, looking here and searching for step point shows how to walk through code one statement at a time.
Step point levels are likely branches taken or not taken.
A quick code example:
//next two step points are at the same step point level. There's no branch,
//they will both always execute
unsigned char qwerty=5;
if(timer == 0x15)
{
Foo(5); // another step point, a different step point level than above
}
else
{
// the next two step points are at the same step point level, as depending on
// the branch will either hit both or neither.
unsigned char temp=5;
Foo(temp);
}