your servo is plugged in incorrectly. Standard wire color for power is RED for positive voltage and BLACK for ground. It is a very good idea to always follow this standard even when not “required”. Like in how you correctly wired your PCA9586 control buss but you used black and red for the 2 signal lines instead of for Vcc and Gnd.
On the servo standard the put the red/positive voltage line in the middle of the connector so you don’t burn things up. ie you can plug in it either way and the middle is always the positive power line. Next they will sometimes use brown in stead of black for GND and often yellow or orange are used for the PWM signals.
Last, if you don’t know anything about DC voltages you really need to get onto google and get some basic understanding of batteries and connecting DC voltages to things otherwise wires will be burned and/or parts made inoperable and sometimes the “magic smoke” will get released from burning parts.
With that said, a Steering servo needs power to operate and in the RC world, it is often the thing connected to the large drive battery(the ESC) which includes a power supply which is used to supply 5V to power all the other servos and things on the RC car. The ESC(Electronic Speed Controller) is what controls the drive wheels on DonkeyCar and the 5V power to drive other servos is supplied in the same 3 wire cable you must connect to the PCA9685 in order for the steering servo to move. Oh, and you need to turn on the ESC to get that power even when you are only testing the steering servo.
Step 1 of the Calibration instructions( 1. Turn on your car. ) means turn on your ESC because on a basic RC car, there is no other on/off switch except for the one which turns the ESC on/off.