Rick,
What I understand is you want to fill some color between CL_Lower and CL_Upper plot by STEP statement.
Actually BAND statement could display a piecewise CONSTANT connection ,if you don't believe it you could try to run my code.
If you don't mean it, could you post a graph to display piecewise CONSTANT connection ?

Here is a more simple code :

title "Empirical CDF and 90% Confidence Bands";
proc sgplot data=ECDF_bands noautolegend;
label x="Breaking Strength (psi)" ECDF="Cumulative Proportion";
band x=x lower=CL_Lower upper=CL_Upper/TRANSPARENCY=0.6 modelname='x';
step x=X y=ECDF / lineattrs=(thickness=2) name='x';
step x=X y=CL_Lower / lineattrs=(color=gray);
step x=X y=CL_Upper / lineattrs=(color=gray);
xaxis grid label="x";
yaxis grid min=0 offsetmin=0.03;
run;

Note: I used the modelname= option of BAND statement.