Yes, athletes who take steroids are really cheating, because they are not showing what the human body can do on its own. The whole point of sport is to celebrate what the body can do. The point of sport is not to celebrate whether the science of steroids has gotten better.
Steroids can be very beneficial in extracting the best of one's physical and athletic performance. Under a doctor's supervision, they can be taken safely and with minimal health risks. However, they are explicitly against the rules in many pro sports leagues, and in those leagues that do ban steroids, using them is cheating.