I'm not an expert myself, so bear with me; I could be wrong...
Firstly, I think step sequencer notes are fixed so the rows will only play the notes they are assigned to. You might have to go back to the Arpeggiator.
On the Midi Learn, I think the tick on the menu item indicates it's still in learn mode. Once a note is learned, a MIDI icon (5 pin din) will appear in the top left of the Matrix cell. Also the menu item will have an asterisk appended to it, i.e. 'MIDI Learn *'.