You must manually mark or check off every lesson that you complete. If you do not mark it as completed your course progression percentage and steps will not be incremented.
The lesson completed button has recently been changed and may change again in the future, but it will appear somewhere on each lesson page. At the time of writing this article, it looks like:
It is possible a course may be updated and a lesson added. Look at your course navigation and make sure every previous lesson has been marked as completed.