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By your screen grabs, you're doing nothing wrong except viewing the  object at a closer range. You are bound to see the stair step effect.

Your  initial shape was that of a square.  The lines will be crisp. But the  moment you rotate it even slightly, you will get the staircase. This is  because PS is pixel based and will display as such on a monitor. Even if you were to  use the Polygon Tool set to 3 sides and positioned correctly in the workspace, you'll notice the steps when you zoom  in.

Photoshop can only simulate "pseudo" vectors as I call  them.....  And only a true vector application like Illustrator can  create scalable objects . These can be resized or rotated without lose  of detail or jaggedness.

Even then, a vector shape created in AI or even in Corel Draw when viewed up close will show jaggedness.

Hence,  the moral here is not to view the object up close but view it normally  as it would appear in the complete design at actual pixel view -whether  in PS or a vector application.