Like you, I have never heard of anyone seasoning stainless steel.
That being said, technically, they can probably be seasoned without damage to pan. Why would you though? The whole purpose for stainless steel is to have a surface that can be scoured clean.
Email All-Clad, I'm sure they'll dissuade you. Here's the link:
If you do decide to season them, don't season your whole set. Only saute pans should ever get seasoned.