According to the Fabricius and Alderslade "Soft Corals and Sea Fans" book, Stereonephthya sp. are non-photosynthetic. This has been reported in other, older literature as well. However, recent study has proven that there are zooxanthellae in some Stereonephthya species/individuals.
From VAN OPPEN, M. J. H., et. al. 2005 (Molecular Ecology 14:8:2403-2417):
"Three unrelated GBR taxa that are described in the literature as azooxanthellate ( Junceella fragilis, Euplexaura nuttingi and Stereonephthya sp. 1) contain clade G zooxanthellae, and their symbiotic association with zooxanthellae was confirmed by histology. These corals are pale in colour, whereas related azooxanthellate species are brightly coloured. The evolutionary loss or gain of zooxanthellae may have altered the light sensitivity of the host tissues, requiring the animals to adopt or reduce pigmentation."
This doesn't really give any definitive answer because the genus Stereonephthya is known to be both zooxanthellate and azooxanthellate. Furthermore, we have to take it that the Live Aquaria folks are pretty good at identifying these corals - it isn't easy. From what I've observed sofar, they are a cut above the rest when it comes to this. Maybe they'll chime in.