Please keep in mind that reputable window manufacturers have been selling and warrantying each type of window sill for a long time. If it were true that any of these types of sills were unreliable, these companies would surely have re-designed their product by now.However, lets take a look at each ~
Slope Sills shed use a thin piece of vinyl to lock the sash into when it closes. Other than this... it's exactly what the name implies, "sloped". If the screen is up and rain is allowed to splash directly onto the sash, the water will run down to the sill and run off. Simple stuff. This works.
Pocket Sills use a cup design that the sash closes into. If the screen is up and rain is allowed to splash directly onto the sash, the water will run down into the pocket and drain out of the "weep holes". This works. However, it's a good idea to keep the screen on the window... you don't want dirt and leaves clogging up the drainage. The benefit of a Pocket Style frame is that it's bulkier and more rigid. Some customers might prefer a stronger frame for larger windows.
Step Sill is a hybrid of both Slope and Pocket sills. The sash closes into a pocket and uses an outside slope design to direct water off of the sill. This works. There aren't as many "honey combs" inside this frame as there is inside of Pocket style frames so the window itself won't be as rigid and sturdy, but there should be no reason for worry. Again, if the screen is down only a small amount of water will need to be drained by the sash. 
