I've tried to obvious solution to create my own non-abstract base class and it didn't work for WizardForm so I did'nt try WizardPage.
But, it actually works fine for WizardPage so that solves my problem because it's the wizard steps you really need a designer for to be productive.
So this is the code I am talking about:
class WizardPageBase : WizardPage
{
}
class MyWizardStep : WizardPageBase
{
}