Missing progress or characters after connecting accounts usually means they were connected to different Battlenet accounts. You could not play D4 on PS5 without having it connected to a Battlenet account. Your Steam game should have been connected to the same Battlenet and then they would share all progress.
I don’t work for Blizz or the console makers… it is possible you can switch your Steam account to the Bnet that your PS5 was on and it can pick up the progress. Maybe. Not sure how easy it is to switch the PS5 back to the first Bnet account though. Consoles often have cooldowns on connections.
Here is a Blizzard post about it from game release in June.
And here is a related Support article.