What finish should I use for concrete on stairs?
You don't have to finish them. If you like the look of concrete, you can leave it as-is. 

If you do want to finish, I'd suggest a concrete stain. You can then seal it with a variety of clear coat products. Epoxy based clear coats are more durable, though harder to apply. You can even just apply a wax as a final protective coat if you like.