I have 'When re-entering the cart: Show first step' and when in Step 3, I try to submit my order and it fails, I'm sent back to Step 1. This doesn't happen if 'When re-entering the cart: Show last visited step' is selected.
But when you're submitting your order and it gives you an error, you're not re-entering cart and what makes sense to me is that you'd be sent to the page where the error is, in this case, Step 3. Instead, the user is forced to go through all the steps again and the errors don't even show in the step where they actually happened. By the time you get back to step 3, the errors are no longer showing.
See the repro here: