LN your CFI is correct in that technically you do not need to do a HASELL check before advanced (steep) turns exercise, however it is probably good practice to do them anyway, you cannot be critised for doing them as part of your airmanship.
If you think about it you actually do most of them anyway before the steep turns exercise. You make sure you have sufficient height, you make sure the flaps are up, that everyone has thier seat belts on tight and of course you would check your T & P's before the excercise anyway and Location and Lookout you would do anyway so although most people don't physically call out the HASELL checks before steep turns they do in fact do most of it anyway.
I personally would do it even in the test as the examiner is not going to fail you for good airmanship, they will fails you for poor or no airmanship.