I have never seen a study that demonstrated a cause-effect relationship. Then again, I am no expert on steroids.
Here is what I know:
Anabolic steroids significantly raise LDL, but more importantly significantly lower HDL (the good cholesterol). Low levels of HDL have been independent predictors of progressive renal failure.
Many bodybuilders and powerlifters can develop extreme blood pressures during lifts. One cardiothoracic surgeon I know placed arterial lines in powerlifters and had them perform squats. Their systolic blood pressures were so high that they had to get machines capable of reading higher pressures because the ones they were originally using couldn't be calibrated that high. Turns out that during a lift, the systolic blood pressure peaked on average at 350-400 mmHg with some people going as high as 700 mmHg during heavy lifts. The blood pressure remained elevated above 200-250 mmHg for several minutes following a set. It took almost 15 minutes for measurements to return to normal.
It is likely that lifting extremely heavy weights causes extreme hypertension, which can damage renal tubular cells from excessive shear force and pressure. This may in fact be the primary cause of renal failure in bodybuilders/powerlifters, coupled with low HDL, high protein diets, and a few other risk factors (such as aggressive use of diuretics).