Malcolm will step up when he wants onto my arm if he doesn't want to he walks away. Should I make him step up even if he wants to just sit there?
No, it's very good that he walks away when he doesn't want to, otherwise you will have a bird that bites when he doesn't want to step up. Sometimes there are reasons the bird doesn't step up - they might be scared of something, they're not feeling well, they're tired, etc. It's good to respect his boundaries. If he doesn't step up, just walk away and come back in a few minutes.
If you make a bird step up when they don't want to, they'll be come resentful of your hand. They know when you're about to ask them to step up, and they'll get aggressive if they don't want to step up but expect you to try to force them.
Birds don't take commands... we "ask" for behaviors, not command them. You need to think of "step up" as an invitation. I ask my bird "Wanna step up?" and put my finger in front of him. If he doesn't want to step up, he sits there and says "Step up" which is a signal for me to leave him alone. If I don't take that first warning, I get bitten.
That doesn't mean you can't train a bird to very eagerly step up. If your bird is clicker trained, stepping up is a great exercise. I used a target to teach my bird to step up. Most of the time, he steps up very eagerly because he looks forward to getting to do something fun. If your bird doesn't step up, it might also mean that spending time with you might not be as fun as whatever he's doing, so you need to make your "hang out" time with him more fun.