The bigger question is why you didn't just turn around and drive straight back to the dealership. A brand-new car like this should not have any of these problems, and it's a sad comment on the attention to detail (or lack of it) demonstrated by the dealership that pre-delivered the vehicle when all these things should have been checked. Let's not forget, this is what the dealer delivery charge is supposed to sort out.

The steering wobble is possibly a wheel with a missing balancing weight, particularly as it only appears at a particular road speed. But the steering wheel button issue could be a fault with the wheel itself, the on-board body computer that controls all this stuff or even the software that drives it.

Straight back to the dealer and don't take "they all do that" for an answer.

This is either a sensor problem (that tells the car the door has closed and the step needs to retract) or a problem with the actuator that physically reels the step in. Either way, it's an obvious warranty claim.

If the car can't be driven (to the dealership) with the step extended, you could try holding the locking button on the remote for 30 seconds which will sometimes reset the vehicle's body computer and the car will revert to normal operation. Apart from that, arrange for the dealership to pick the vehicle up.