The only interpretation that made sense to me was that DJ was questioning why Steven didn't come into his house as was the usual procedure when TH came over with the kids. Remember, the DJ question happened after an hour of guitar-playing (which could be a code for something else). So, maybe DJ was thinking that Steven should have come into the house by that time. TH confirmed that Steven was still "riding his bike" (which, IMO, indicates that TH "saw" the kids) and was, therefore, as others have said, not missing.
Now, if Steven had not come home before Pam left for work, IMO, this indicates that Steven came home sometime between Pam going to work and TH and Amanda going to the Jacoby's house. If true, this means that TH was lying when he said he didn't see Steven at all that day. Jacoby's statement supports the statements of the neighbors (Ballard/Clark) who claimed they saw the boys with TH at around 6:30 pm.
Here's my proposed mini-timeline for this portion of May 5, 1993:
4:45 pm Steven is not home. Pam, Terry and Amanda leave to take Pam to work.
5:00 pm Terry and Amanda return from taking Pam to work. Steven and his friends are at the house, and Steven begs Terry for a little more time to play with his friends. Terry agrees.
5:15 pm Terry and Amanda arrive at the Jacoby's. Steven and his friends are seen riding by (two bikes and one skateboard) in the background when Jacoby opens the door to let Terry and Amanda enter.
6:15 pm Terry and Amanda leave Jacoby's and return home. Amanda rides her tricycle in the driveway and Terry goes inside the house. Steven is there, with his friends, maybe eating his dinner. There is some sort of confrontation between Steven and Terry and the boys run out, chased by Terry. (This is what was witnessed by the neighbors,)
6:30 - 7:00 pm Terry follows the kids into the woods. He is angry with Steven and starts hitting him. It gets out of hand . . . you know the rest.