Why is it harder to turn the shaft of an unpowered stepper motor when connecting the terminals of a phase?
You're nearly right. Back EMF is generated when a motor is running and increases the faster the motor turns. The effect is to reduce the amount of current into the motor. (That's why the starting current is so high.) In this case the motor is only acting as a generator so we are generating EMF but not 'back' against anything. It's only a matter of terminology so your basic understanding is correct.

Many people don't realise that if power is drawn from a generator that the resistance to rotation increases. When you short circuit the winding a high current flows in the windings and it opposes the turning motion, hence the high resistance to rotation that you are experiencing.

This problem is the bane of folks trying to make electric perpetual motion machines.