Another mice study, this time only 15 years old. The suggestion of the study, btw, is that Vitamin D3 might be useful to suppress the immune system in instances such as autoimmune diseases and organ transplants where the immune response might otherwise be dangerously high. Thus it could just as easily have been called immuno-modulatory, especially considering that other more recent studies have shown that Vitamin D - and specifically Vitamin D3 supplementation - BOOSTS the immune system by activating T-cells.
You ask if steroids are immuno-modulatory. In the instance of Vitamin D, the answer appears to clearly be yes. And I note that while steroids are generally immuno-suppressive, some steroids boost immune activity.