Hi Lars, here some quick shots..
A step will be orange (again, in the traditional color scheme) in one of two cases: a) the step holds an event, or
b) the step holds a chord.
In the a) case the step may have a note trigger or not. But the event is always active regardless of the note trigger status so it is shown "in the foreground".
Also, you cannot turn the event off by pressing the step, so the orange light stays.
In the b) case the step will trigger a chord but only as long as it has a note trigger with it. So you can toggle the step as you normally would.
In the case of skipped steps, it is a question of preference if you want an event step that is skipped to show red or orange. Consistency says it should be red, since it is skipped. In practice I found it useful to know that there is an event, and where, such as to activate it directly as soon as it is needed. But glad to discuss 
Stop does not work in step mode, indeed. The reason is that the play doesn’t work either. What?? Well, the play buttons (one, two and three triangles) in step mode have the function of multiplying the step length. So the idea is that letting you stop the machine but not restart it is kinda mean..
ESC is used to always bring you back to page mode. It is not used to take you one level up, but always to page mode of the last visited page, since that is where we accuse you of spending most of your time. As always, ymmv.