I want to start ArcGIS Pro in a step in WFM as I should do with ArcMap.
I cannot find documentation about this issue.
Theoretically the answer is YES. Workflow Manager supports a custom step with "executable" type. When you configure a custom step, in Execution tab, you can choose "Executable" and add your ArcGISPro.exe path (normally it's in the bin folder of ArcGIS Pro install directory) under "Program" for Execution Arguments. Then you can launch Pro when executing the step in Workflow Manager, if my understanding of your question is correct.
However we highly recommend running your entire workflow within ArcGISPro. All custom steps are supported in Pro. In addition to running Pro as ArcMap, Workflow Manager as client application is now available in Pro. With that being said, you can create Workflow Manager connection in Pro and start creating jobs and executing steps within the job. I would recommend the following demo of Getting Started with out-of-box templates I posted earlier. It will give you some ideas on how to use ArcGIS Pro as workflow manager client.
I hope this answers your question. Feel free to let me know if you have any further questions.