You need to authenticate to each platform account you have linked for Cross-Save set-up, this includes Steam. Are you authenticating to each platform account you have linked? If you don't want a platform account linked with Cross-Save, you'll want to unlink it from your Bungie.net profile prior to trying to set up Cross-Save.

To continue with the cross-save activation process, you will need to authenticate [u]all[/u] platform accounts linked to your Bungie profile. You mention Xbox and Epic, but your public profile also shows a linked Steam account. If you do not wish to include your Steam account in your cross-save setup, you will need to unlink it via the Account Linking page, in your profile settings. I also highly recommend reading through the cross-save FAQ, located on the main page for cross-save, as well as the article linked below, before proceeding. Just to ensure that you are fully aware of how cross-save works, along with its restrictions and limitations. Feel free to ask any further questions you may have, before activating. https://help.bungie.net/hc/en-us/articles/360049498031-Destiny-2-Cross-Save-Guide