I'm new to Step Up Transformers

In my experience with 4 different phono stages. I have always preferred the sound of using an SUT into the MM stage vs the built-in MC stage. Whether the MC stage has built-in step-up transformers or uses SS for gain, the result is always the same for me, SUT into MM always sounds better to my ears. The only caveat is that you must invest in decent phono interconnects for the SUT. 

'I have always preferred the sound of using an SUT into the MM stage vs the built-in MC stage.'

This has generally been my experience too.

My Zestos offers only 2 load settings that are in the range to suit the Paua (minimum recommended setting of 470 ohms):  400 or 1000 ohms.  I have set it at 1000 at the moment but it requires more listening. 

Hello, I don’t think many people understand your question and what your friend is telling you. I personally own 3 preamps that have excellent phonostages. I own 2 high level, very expensive external phonostages that have MM and MC settings. Both external phonostages have Lundahl transformers to step up the signal for MC cartridges.  The point your friend is making, is to try various other Step up Transformers via the MM section of your phonostage. I personally own 7 or 8 SUT’s and have discovered they all have their own unique sound and it takes time to match the perfect SUT with your cartridge. The more options you have, the better the results will be. If you are happy with the built in MC section of your preamp, then enjoy it but if you want to hear things change in sound, just like changing the cartridge affects the sound dramatically, trying different SUT’s can make the sound better or worse as well. I personally am a fan of options.  

The Zesto Andros has the Nobel network included in their circuit, along with loading options designed specifically for that transformer/zobel.

A Zobel network is often used to damp a transformer. But if you change the source impedance, the Zobel network won't be correct.

If you really want it right so the transformer editorializes least, the only way to really know is the procedure at the link I posted earlier.