Hi Dan,
Yes, step 1 should only be executed once after system setup. Otherwise all your customer specific SU24 data, that you maintained over the past years, will be lost. As I described, step 1 copies the SAP standard proposals from SU22 to your customer specific area in SU24. As Julius mentioned correctly, SAP set this step in higher releases to display only to prevent customers from losing their data unintentionally when running step 1 without knowing what it does, but you can still start it from the menu if needed. Despite it is called step 1, normally you should never run it again if it was already executed once.
Best regards
Stefan