Most any DAC holds its output value between samples, so the output does look like a stairstep, at the actual DAC output. The output anti-imaging filter is responsible for removing the HF content beyond Nyquist to generate a smooth waveform. For a DAC-in-a-box, you never see the stairsteps, because the output filter is inside the box before the output terminals. At that point, assuming proper filtering, the output is integrated and is one continuous (smooth) waveform with no stairsteps to be found. Zoom in all you want.
Mathematically the digital input to the DAC is better represented as a series of weighted impulses (or Dirac pulses), which in signal processing theory get applied to a ZOH (zero-order hold), and then filtered.
I think some confusion, at least mine, arises because what audiophiles consider a DAC is really much more than that to me. The block diagram of the DAC (box, component) you buy has a lot of components inside, only one of which is the actual digital-to-analog conversion part. Digital input capture/conversion and buffering, clock/data recovery and retiming, digital signal processing, the actual DAC, then output conversion to voltage (if needed) followed by filtering and analog output buffers. Plus power and control circuitry.