Suppressing non-ANSI warnings in SQLCMD script
I was able to reproduce the issue. Problem is step 1 is refering to steps that are not created yet. Following code will generate the same error you are getting. 

USE [msdb]
GO


BEGIN TRANSACTION
DECLARE @ReturnCode INT
SELECT @ReturnCode = 0

IF NOT EXISTS (SELECT name FROM msdb.dbo.syscategories WHERE name=N'[Uncategorized (Local)]' AND category_class=1)
BEGIN
EXEC @ReturnCode = msdb.dbo.sp_add_category @class=N'JOB', @type=N'LOCAL', @name=N'[Uncategorized (Local)]'
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback

END

DECLARE @jobId BINARY(16)
EXEC @ReturnCode =  msdb.dbo.sp_add_job @job_name=N'test333', 
        @enabled=1, 
        @notify_level_eventlog=0, 
        @notify_level_email=0, 
        @notify_level_netsend=0, 
        @notify_level_page=0, 
        @delete_level=0, 
        @description=N'No description available.', 
        @category_name=N'[Uncategorized (Local)]', 
        @owner_login_name=N'domain\account', @job_id = @jobId OUTPUT
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback
EXEC @ReturnCode = msdb.dbo.sp_add_jobstep @job_id=@jobId, @step_name=N'GetDate', 
        @step_id=1, 
        @cmdexec_success_code=0, 
        @on_success_action=4, 
        @on_success_step_id=2, 
        @on_fail_action=4, 
        @on_fail_step_id=3, 
        @retry_attempts=0, 
        @retry_interval=0, 
        @os_run_priority=0, @subsystem=N'TSQL', 
        @command=N'select getdate()', 
        @database_name=N'master', 
        @flags=0
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback
EXEC @ReturnCode = msdb.dbo.sp_add_jobstep @job_id=@jobId, @step_name=N'success', 
        @step_id=2, 
        @cmdexec_success_code=0, 
        @on_success_action=1, 
        @on_success_step_id=0, 
        @on_fail_action=2, 
        @on_fail_step_id=0, 
        @retry_attempts=0, 
        @retry_interval=0, 
        @os_run_priority=0, @subsystem=N'TSQL', 
        @command=N'Print ''i am success''', 
        @database_name=N'master', 
        @flags=0
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback
EXEC @ReturnCode = msdb.dbo.sp_add_jobstep @job_id=@jobId, @step_name=N'failure', 
        @step_id=3, 
        @cmdexec_success_code=0, 
        @on_success_action=2, 
        @on_success_step_id=0, 
        @on_fail_action=2, 
        @on_fail_step_id=0, 
        @retry_attempts=0, 
        @retry_interval=0, 
        @os_run_priority=0, @subsystem=N'TSQL', 
        @command=N'print ''i am failure''', 
        @database_name=N'master', 
        @flags=0
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback
EXEC @ReturnCode = msdb.dbo.sp_update_job @job_id = @jobId, @start_step_id = 1
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback
EXEC @ReturnCode = msdb.dbo.sp_add_jobserver @job_id = @jobId, @server_name = N'(local)'
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback
COMMIT TRANSACTION
GOTO EndSave
QuitWithRollback:
    IF (@@TRANCOUNT &gt; 0) ROLLBACK TRANSACTION
EndSave:

GO


I commented out 4 lines on the 1st step. Added a section calling sp_update_jobstep. This code will not throw the error you are getting.  I am only pasting modified code here.

EXEC @ReturnCode = msdb.dbo.sp_add_jobstep @job_id=@jobId, @step_name=N'GetDate', 
        @step_id=1, 
        @cmdexec_success_code=0, 
        --@on_success_action=4, 
        --@on_success_step_id=2, 
        --@on_fail_action=4, 
        --@on_fail_step_id=3, 
        ........
IF (@@ERROR &lt;&gt; 0 OR @ReturnCode &lt;&gt; 0) GOTO QuitWithRollback


Add this at the end of creating last step and before running sp_add_jobserver.

EXEC msdb.dbo.sp_update_jobstep @job_id=@jobid, @step_id=1 , 
        @on_success_action=4, 
        @on_success_step_id=2, 
        @on_fail_action=4, 
        @on_fail_step_id=3