Yep. Only if the previous step abended, the first step runs. No previous step, so didn't abend, so step doesn't run. Someone showed it to me a couple of months ago, and I didn't believe it till I ran it myself
It is not documented (that I can find) so behaviour can change without warning in a future z/OS release, so don't use it. COND is, shall we say, esoteric.