This video provides a quick overview on how to fold the flex rigid board and then export it into a STEP.
Note that flex-rigid was introduced in version 14 of Altium Designer. The ability to export the folded view came in 14.3.
If you are new to rigid-flex but would like to explore it, open the Bluetooth Sentinel project that Altium provides with the installation. It is usually located: C:UsersPublicDocumentsAltiumAD16Examples.