what does it mean to run the steps locally?

start_locally : means the pipeline code itself (the logic that runs / controls the DAG) runs on the local machine (i.e. no agent), but this control logic creates/clones Tasks and enqueues them, for those Tasks you need an agent to execute them
run_pipeline_steps_locally=True: means the Tasks the pipeline creates, instead of enqueuing them and having an agent runs them, they will be launched on the same local machine (think debugging, otherwise I cannot actually see the value). And to your question yes it means there is no need for an agent.
WackyRabbit7 did that help?