Reebok actually commissioned a study to look into the effects of weights on step-training.
They found that 1-lb. weights produced no measurable increase in exercise intensity.
When the exercisers tried 2-lb. weights, the exercise intensity increased 6.7%, but the exercisers perceived the exercise as being much harder (contrast this with a 12-14% increase from adding arms to a legs-only routine, or adding 2" to the platform height, or the 54% increase from propulsion movements).
The exercisers in the study also complained of soreness from the 2-lb. weights, and were unwilling or unable to finish a segment using 3-lb. weights.
Step Reebok recommends avoiding the use of handheld weights while stepping for this reason, as well as to reduce the risk of injury to oneself or fellow class participants.