As long as a side appear anywhere on the menu, you can substitute for it. And even it doesn't appear on the menu (fries are always available and rice most times). As for the steak sauce or dipping sauce, again, if it's on the menu, you can have it. If it's more pedestrian like A-1, Heinz 57, etc, they will have it.
I live with someone I call Substitute/Elimination Man. He gets what he wants and deletes what he doesn't want. And has never had a problem anywhere, Disney World or not.