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"/>