Note that for any impulse response $h[n]$, the step response is given by the cumulative sum of $h[n]$:
$$a[n]=\sum_{k=-\infty}^nh[k]\tag{1}$$
Its $\mathcal{Z}$-transform is then
$$A(z)=\sum_{n=-\infty}^{\infty}a[n]z^{-n}=\sum_{n=-\infty}^{\infty}z^{-n}\sum_{k=-\infty}^nh[k]\tag{2}$$
The region of convergence (ROC) of $(2)$ is the range of values of $|z|$ for which the sum in $(2)$ converges.
For your example, you have three different impulse responses with the same expression for their $\mathcal{Z}$-transform, each with a different ROC. You are right that the ROC of $A(z)$ is the intersection of the ROC of $h[n]$ and the ROC of the unit step $u[n]$.
For the ROC $|z|<\frac12$ you get an empty intersection. This simply means that the sum $(2)$ converges nowhere in the $z$-plane, i.e. the $\mathcal{Z}$-transform of the step response $a[n]$ doesn't exist in this case. The reason is that the corresponding impulse response is anti-causal and exponentially increasing towards negative values of $n$, so from $(1)$, $a[n]$ is infinite for any value of $n$.
For the ROC $\frac12<|z|<2$ you have the intersection $1<|z|<2$, i.e., the step response $a[n]$ is a two-sided sequence with a $\mathcal{Z}$-transform $A(z)$ that converges in that range of values of $|z|$.
For the ROC $|z|>2$ the intersection is $|z|>2$, and, consequently, the step response $a[n]$ is an exponentially increasing right-sided sequence with a $\mathcal{Z}$-transform $A(z)$ that converges for $|z|>2$.
