How to export an assembly to a step file with planes and axis

Well, I am not sure that reference geometry will come through.  I have never heard of reference geometry being added.

That being said, you can still create a 3D sketch inside your part and draw lines that are coincident with all your axes.  That way, you can then export sketch entities.

Sanjay this is an enhancement request as below which you can vote for in the customer portal. It is marked critical so seems a fair few people have voted on this. Dan's suggestion above could be useful to recreate a new plane to the 3rd party software.