how to design step groove pcb in altium designer
Looks like there's a cutout made in a specified layer before lamination. Assuming it is something like this:

I think you would create an outline for the stackup layer that needs the cutout milled/routed out of it, as well as an overall board outline.
So add mechanical layer and draw the cutouts and add text to explain what it means.
But definitely talk to the vendor to make sure that everything is clear, otherwise you might get some expensive scrap.  Keep the radius on the inside holes reasonable or it will either be very expensive or they might even ignore it and use a big diameter cutter.
It's possible you could get something that renders in 3D helpfully by using the rigid-flex features in Altium, not sure I would bother though.