Hi,
Yeah this is because when you need CompoundStep (i.e two different samplers, like NUTS and Metropolis for instance), you need to address the kwargs directly to the corresponding step method. Whereas when you only need one sampler, you can access the sampler directly in sample.
The docs are indeed not very clear about that, but it was sorted out by a recent PR – see this issue for discussion and associated PR.
If you have an idea to improve this API, I think this would be great! We’re always welcoming of PRs 