Does the step execute when the job is cancelled? If you haven't tested this, you should because the
MVS JCL Reference manual says:
Errors that prevent step execution, regardless of COND specifications
z/OS MVS JCL Reference
SA23-1385-00
Certain error conditions prevent the system from executing a step, regardless of any requests specified through the COND parameter. These conditions are as follows:
Abnormal termination by the system: After certain types of abnormal termination by the system, remaining job steps are not executed, regardless of whether EVEN or ONLY were specified. The completion codes associated with these types of abnormal termination are:
122
Operator canceled job
222
Operator or TSO/E user canceled job
You might encounter other system completion codes for which remaining job steps are not executed, regardless of whether EVEN or ONLY was specified. See z/OS MVS System Codes for further information about specific system completion codes.
If the job is being cancelled and STEP001 is executing, then you need to open a PMR with IBM since you have behavior contrary to the documentation.