While this value is saved as part of the job step, I can find no evidence that the value is used.
If I set the value by adding the parameter , @os_run_priority = X to EXEC msdb.dbo.sp_update_jobstep, then it shows up correctly in the os_run_priority column of msdb.dbo.sysjobsteps.
I created a job with 2 steps: one T-SQL step and one Operating System (CmdExec) step. I assume that it is more likely that an option such as "os run priority" would affect a CmdExec step, but it is good to test both.
Each step did a WAITFOR DELAY '00:00:30.000' so that it would hang around while I looked at the running processes to see if the priority had changed.
I checked the processes using Process Explorer. As far as I can tell, the values (and I tried 1, 15, and -1) have no effect. I tried using both SQL Server 2012 and 2016 on Windows 10.
I also tried on SQL Server 2008 R2 running on Windows XP. I again saw no indication of this property having any effect on either the SQLAGENT process or the SQLCMD process (which I was using in the CmdExec step to call back into SQL Server to do the WAITFOR DELAY).
Of course, it should be noted that the process itself needs certain permissions in order to change the priority level of a thread. When SQL Server agent is running as the Local System account, it might not have such rights. However, I did test (SQL Server 2016 only) using my own Windows Login as the service account for SQL Server agent, and saw no indication of this property being used.