A step drill is used on metal at a slower speed. The science of drill bits is an exact one, with the right drill bit making all the difference between good and bad work. Only a small amount of pressure is needed with an appropriate and sharp bit.
The primary use for a centre drill is to provide a 60 hole for a tailstock centre as a support during turning. The little drill bit on the end gives clearance, and provides an oil reservoir, for the point of the centre.