Wellll. More like a kingdom and a large lordship. Yes, Daemon called himself King of the Stepstones, but that just denotes sovereignty, having no liege above you. The Stepstones really aren't large in terms of landmass. Still, I suppose the temptation there would be over-exceeding canon. For some reason even after securing Dorne, the 7K never made efforts to secure the Stepstones. Even after fighting an entire war on it, too. Maybe they thought having a romantic pirates' hideout was just a necessary part of the setting or whatever.