Either it has not been clarified well in the rulebook or maybe I don't understand it but does each step resolve separately for each player or they do this simultaneously? If it is separately does it mean that at the end of each step of each player can all the players play actions?

Yes, each step is seperate, and yes, players can take actions at the end of each step. Everything starts with the first player and goes from there.

Yes, so first deal the shadow cards for the enemies engaged with the first player, then second player etc. etc., then resolve enemy attacks for the first player, then the second players and so on, through the entire combat phase. There is a nice sheet in the very end of the core set rulebook with red an green bars that tell you when you can take actions!