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Actually it looks like an older version of the SDK.
The solution was that if you use pip install --upgrade azureml-sdk it will upgrade the VERSION to 1.12.0, however it won't upgrade all of the dependent packages. This gives the user the false impression that they are current, when they aren't.
In order to ensure that you have upgraded correctly you need to use pip install --upgrade azureml-sdk[explain,automl]. Updating in this way solved the issue.
Azure ML SDK Version: 1.12.0
from azureml.pipeline.steps import AutoMLStep
Per this doc:
https://github.com/Azure/MachineLearningNotebooks/blob/master/how-to-use-azureml/machine-learning-pipelines/intro-to-pipelines/aml-pipelines-with-automated-machine-learning-step.ipynb
It looks like you can import the AutoMLStep, however I can't find it.
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