Fix Step and Message initialization

[tpatel]

• When initializing a Step or Message object, you don't want to push it to the global context if this is just an object returned by the API
• Now the Step is only pushed to the context stack if it's created with .start_step, the context manager or the decorator.
• Changed step.finalize() to step.end() to use a simpler word.
• Added one test for the step stopping