Are all test steps defined in SoapUi carried over to LoadUI?

That makes a lot of sense, and would definitely act to the detriment of performance when running the test in this way.

I think the solution we're taking is to write a Groovy script to iterate through a CSV file and make this part of the test step, so we can use the free version as opposed to using SoapUI pro - the licensing thing just wouldn't work out for us