EBS vs SSD definition
SSD are faster because there's no network latency, but it is ephemeral and you can't detach it from an instance and attach it to another. As you can see, it is available to more powerful instances.
EBS are more flexible, since you can attach and detach it from instances, but is a little bit slower, as more suitable for general purpose.
Now, in Step 4, you should choose if you want a SSD or a magnetic-like storage. You can roughly compare it as if you were choosing between a SATA drive or a SSD. Again, SSDs are obviously quicker. There are pricing differences, so you should read a little bit about it from the AWS documentation and use the pricing calculator to learn the technical differences.
But, as far as I know, AWS is slowing stopping the use of magnetic storage.
Hope this shines some light on the question.
First of all, be aware of the difference between a root volume, an EBS and an EC2 instance store.
The root volume is what hosts the EC2 instance's operating system and it's almost always an EBS volume (some older AMIs may still use EC2 instance store). You can also add volumes to be used to store data and you can specify whether they should be backed by an EBS or by an instance store (directly attached device).
If you choose EBS only when launching an EC2 instance, you get an EBS root volume and then have to hit the "Add Storage" button during step 4 to add additional EBS volumes. EBS volumes can be backed by different types of storage devices like GP2, IO1 and magnetic and you can specify if they are retained or deleted when the EC2 instance is terminated.
If you choose SSD at step 2, you get an EBS root volume and a second volume that defaults to an instance store. You can change this to an EBS volume in step 4 if you'd like (not sure how that impacts pricing). The values for things like size and type are shown as N/A, but they are really determined by the instance type (they should be shown as grayed out values instead of not applicable). You can add additional EBS volumes by hitting the "Add Storage" button during step 4, but you only get the number of instance stores that are specified by the EC2 instance type.
If you choose SSD you still get an EBS root volume that can be detached, resized, reattached, have snapshots taken, etc. It is retained when the server is stopped and you can choose if it's retained when the instance is terminated. Only the instance store is ephemeral; you cannot choose to retain it if the server is stopped, terminated or if the underlying device has a problem, but it is retained on a reboot.