You may very well be creating a single model in the step file. It's hard to say without looking at the actual export data. I think the issue you're running into has to do with re-opening that same file in Pro/Creo. By default, if Pro/Creo sees multiple bodies of geometry, it will assume it's an assembly and create a separate part for each one. You can force it to open the import data as a part, but if the different solid bodies touch at all, they will immediately become merged into one. Assuming your different parts aren't actually touching, try bringing the STEP file into an empty part. You will only have one feature, the import, but you should have 4 different bodies of solid geometry.