Problem:

I used the "Do Exploratory Testing" freature of Microsoft Test Manager (MTM) but only the last 10 steps show up when I create a test case.

Solution:

In the new test case window press the "Change steps" button above the test steps.  This will bring up a dialog box allowing you to select additional steps.

Explanation:

The default number of steps to include in a test case is 10. That value is in the mtm.exe.config file:

<!-- The number of actions selected by default when a bug or test case is created
         while exploring the app or providing feedback. The number of actions displayed by default are
         four times this number -->
    <add key="DefaultNumberOfActions" value="10"/>