Hmm....I can't tell from your description what the problem is, but I can give some general solutions and maybe one will work.
First make sure the volume is on for all your separate instruments in the step sequencer (it's the second knob). If those are on, make sure no part is silenced/muted (that's the little dot next to the instrument part in the step sequencer. If there is a green dot, that means the part is not muted, if there is no dot, then it is muted).
Second, make sure the volume isn't muted in the mixer (the volume is determined by the slider). Also, the make sure no part is muted (once again on the mixer there is a green dot to show if it is muted or not). If you haven't played with the mixer yet, at least check the master track in the mixer section to see all the volume stuff is on.
Lastly (and this is what I think is the cause of the problem) is if you're trying to play all the different instruments of the step sequencer at once in the playlist menu, you have to switch the mode from pattern to song. Look at the play button on the top. To the left of it, there are two buttons, one saying Pat and the other saying Song. Pat means you play can listen to each individual part in the step sequencer. However, when you go to the playlist and put your instruments/beats together, you have to switch the mode to song to listen to the final thing.
There, hope that helps. If none of that fixes it, just reply and I'll try to think of any other problems that could have happened