Shadow Step only teleports you, so you can't bring anyone else (willingly or unwillingly) with you. Compare with other ways to teleport like the spell teleport (PHB, p. 281) which only allows bringing others with you because it explicitly says so.
If you could somehow bring a grappled creature with you through a Shadow Step (a custom Feat, perhaps?), it would not reduce the distance. Shadow Step's distance limit is a fixed 60 feet that is independent of your speed statistic, and drag-grappling only reduces your speed.
On the plus side, the combination of these two points makes Shadow Step a convenient way to escape a grapple against you.
As RAW, no, it does not
Being considered a size higher for carrying capacity and push, drag, or lift force is not the same as being a size higher for all purposes, including grappling.
You count as one size larger when determining your carrying capacity
and the weight you can push, drag, or lift.
As RAI, maybe
The loop hole is that the PHB has no reference on why and how the grapple-er can move without speed penalty if it is two size higher, and the DMG does not touch the subject. There are two potential scenarios for why a grapple-er one size or lower has it speed reduced, though; the grappled creature have enough leverage to make the movement difficult or that the grapple-er cannot carry comfortable enough the grappled creature as in "difficult terrain", and that the weight of the creature is the deterrent.
In the first case, since Powerful Build does not increase per-se the size, it is safe to assume that it does not help to increase the comfort or reduce the leverage and, such, the speed is halved.
In the second case, where is the weight that maters, things change. Powerful Build improves the carrying, dragging, and lift capacity, therefore the grapple-er creature does not have its speed halved.
Which one it is
The only evidence I found is in favor of is that weight is the reason for the reduction in speed. The first part is in the text of moving a grappled creature (emphasis mine).
When you move, you can drag or carry the grappled creature with you,
but your speed is halved, unless the creature is two or more sizes
smaller than you.
As far as I can tell, there are no rules on how you drag or, particularly, carry a grappled creature. You can carry over you head a grapple creature as if it were a sack of potatoes. In PHB 176 there is a segment that shows how can you drag, carry and lift something in particular and, as shown, it is a STR and weight contest in which Powerful Build should work as intended.
Push, Drag, or Lift. You can push, drag, or lift a weight in pounds up
to twice your carrying capacity (or 30 times your Strength score).
Bottom line
At the end is the DM that has the last word. Talk to your DM and present the evidence. If you are the DM decide what it is best for your campaign. If a particular decision is more powerful that you expected it is in your right to take back the decision.
Best Answer
Yes this will work
The Grappled condition states:
There are already quite a few questions on different methods of escaping a grapple including (but not limited to):
All of these work as ways to get a creature out a grapple because they remove the grappled creature from the reach of the grappler. The last one in particular mentions misty step as a means of escaping a grapple which shows that teleportation is a valid means of escape. Now looking at the thunder step spell, we see that it states:
No part of this says that the creature must not be grappled or provides any restrictions that would prevent a grappled creature from being teleported. Thus, a grappled creature is a valid target. Additionally, nothing in the grappled condition prevents the creature from being moved by something like thunder step, similar to how misty step would work, so this too will work.