Mash out is a really important step on very big brew systems, but not at normal homebrew sizes. Really large brew systems can take a while to transfer to the boil kettle. During that transfer the enzymes can keep breaking down the sugars to simpler sugars, giving you a drier and more fermentable beer. So if you want a repeatable process you bring the temperature up to a point where it kills all the enzymes and then transfer the beer. There's also some incidental benefits for sparging, as it can speed up the sparge a tiny amount and eek out a few more sugar molecules. But again that's probably only noticeable on big brew systems.
With BIAB mash out is even less important than for multi-vessel home brewers. Some of them can take quite a while with their sparging process and for them a mash out may make sense if they want to control the level of fermentability. For BIAB, once you've finished the mash, just set the temp controller to boil and you'll automatically go through the mash out process (i.e. killing the enzymes).
Step mashing before mash out can definitely be important, but it mainly depends on the malts you're using. When the grains are malted they also go through a mashing process. The highly modified malts will have had the equivalent of some of the lower temperature mash steps (break down of proteins and glucans). So for them you may not want to do the lower steps as it will break down the proteins even further and may effect your head formation and retention.
You can assume your malt is highly modified unless the maltster mentions that it isn't. All the macro breweries want highly modified malts so they can just do a single step infusion mash and the bigger maltsters are generally designing their malts for macro breweries.
And if you want even more information about mash steps than this, I listened to this podcast recently and found it very interesting -
http://thebrulab.libsyn.com/episode...ivity-during-the-mash-w-dr-raimon-pars-viader. It's focused on shortening the time you mash, but it also goes through the reasons for most mash steps and how they help, or don't help, your mashing process.