I have also spent much time looking for a STEP to OBJ format conversion. While Wavefront OBJ format is a defacto standard rendering format, which I found most rendering programs understand, I did not find much support for retaining part hierachy.
VRML is a promising format, and its new incarnation of X3D. This is a favorite format of the CEO of Okino which makes the Polytrans 3d format converter. He also had little nice (in fact nothing nice) to say about U3D, and indicated it was a rehash of a very poor format standard. It is not suprising it was rejected. I personally have found the Adobe U3D models to be very slow and unresponsive, even on my Athlon 3200+ system.
The Okino website page
http://www.okino.com/conv/filefrmt.htm has the best list of file format capabilities, and what I used quite a bit when researching my rendering file import and export formats. You need a format that has a checkmark in the "Hier" column indicating that the format retains the model hierarchy (OBJ and STL do not).
XGL, Rhino, X3D/VRML2 were my final choices. I like X3D the best, but there is still a gap between X3D and STEP. This is where I would concentrate looking for a STEP converter. X3D can be a complicated format and difficult to write a STEP conversion program. Rhino while good software was too expensive just to use as a converter for rendering. Better to use the Rhino rendering package for that price. XGL is a very simple format that is the easiest to read, and possibly the easiest to write a converter from STEP or Alibre.
It seems that most programs that support STEP import do so via the GRANITE tool kit. Not only is it very expensive, it has a difference of opinion with Alibre about the proper construction of a STEP file. So after spending a lot of money, you can still be left with inadequate file translation. When I broached the subject of troubles between Alibre and the Granite tools, they were very unresponsive and insistent that Alibre was at fault (very unwilling to even consider working through the problem, and so I saved myself another $500). I am sure the people at StepTools have a much different opinion of how their software correctly provides Alibre with a properly formated STEP file.
After months of extensive research, I came to appreciate the value of the Alibre Photorendering software. I also became frustrated with the lack of crossover between CAD and Rendering. Don't even get me started on the totally foreign interfaces often present with rendering software, that inhibits casual use as a secondary application.
So if anyone has an answer for our file exchange and rendering woes, please put in your two cents worth because I would really like a direct link from a STEP file to a hierarchical rendering format.