I can see both sides to this issue, and understand completely why they want you to deal with the vendor. Personally, I don't like it but do understand it.
As a business owner I deal with this very situation occasionally. For this reason I encourage my customers to consider purchasing items that are either very high end or regular stock items. Most of my suppliers that offer very high end product will take care of the end customer directly with me in the loop. The ones that don't are not very high on my recommendation list and I make that very clear to my customers when purchasing that product. On the other side, if someone purchases a regular stock item, I have the option to immediately supply them with a replacement out of my inventory to hopefully offset the inconvenience of the error/issue. This policy has served me well over the years, as over 90% of my customers are repeat customers and have been so for over a decade.
I know your situation is not one that you prepared yourself for when you ordered the steps, but....Stuff Happens. Give the vendor the chance to rectify this problem in a reasonable time and enjoy the steps when you get a correct set. If they do you well, remember that the next time you are buying something. Also remember how 'well' the manufacturer handled things and use that information to assist you in making your next purchase decision when they are a 'contender'.