Do you see your setup when viewing Cross Save on your profile here?
https://www.bungie.net/7/en/CrossSave/Recap
If so, you may just want to wait. Bungie is still having issues with their servers and I wouldn't be shocked if it's having an impact on cross save / cross play.
Here is their Twitter if you want to ask them directly: https://twitter.com/BungieHelp
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I see my setup here got steam account and all characters here and Xbox account. Still cant transfer characters for Xbox on crossplay. Cant wait for fix.. i think problem is here with this „cross save” dont working on steam>xbox.