I believe that most basic drug screens do include benzo's (along with opiates, amphetamines, coke, and of course mj). At least the screen done in the ER's do, but generally not anabolics, without a special reason (suspicion).
I worked for a number of years for the MI dept of corrections and yes, they were tested for, it was fine if you had a script to use them. ROIDS of any kind were never tested for.