The FAQ for Power Grid states that when no one buys a power plant remove the lowest power plant at the end of phase 2. The Step 3 card was drawn due to this. My take on the rules are that the step 3 card was still drawn during phase two and thus Step 3 should start during phase 3.
Correct. As part of Phase 2, if no plants are purchased the lowest plant in the market is removed and replaced. If the replacement card is the step 3 card, you now remove it and the new lowest plant, leaving 6 plants in the current market. Players may build a 3rd station in cities now.