My cat Issy (short for Isabelle), does the "stepping thing" as well... Although i dun consider it a massage, but sometimes it hurts when she retracts her claws while "stepping"...

Actually i read it somewhere that they do this stepping thing to their mother's bellies for milk, and its common among kittens..

However, my Issy being an old cat of 4 yrs still does it to me! Probably she thinks i am her mummy!!!