If they take one step forward, they aren't going sideways which means they can't dive as far sideways, blocking out an extra few inches from being closer doesn't make up for that fact.
I just read this thread, then watched the penalties on youtube. I agree that stepping forward first is a waste, if you then have to step to the side. However, if you look at the penalties, particularly Benfica's second penalty, the keeper was way off his line before the ball was struck. Surely this is an advantage, as for the sake of a fraction of a second in reaction time, the keeper gains a foot or more in distance he doesn't have to move.
Also, nice to see QPR get a mention due to Mbia.
[video=youtube;F5lQNTrq80E]http://www.youtube.com/watch?v=F5lQNTrq80E[/video]