I'm using only JLCPCB components on a board. When I exported an earlier version in October '22 I got a .step file with all the components. Now (Feb '23) I get just the board, despite (yes) selecting PCB + Component Model
Version : V1.9.29.eba1c1
BuiltDate : 2023-01-13
Maybe I can find a way to install an older version and see if I can export from that.
(I was able to export my project and import it into the web version to export a complete .step file. Not the worst work-around, but I prefer keeping files on my computer where I can back them up.)