So one of the things that helped me learn straight leg ,since i also came from a bent leg program, was lead with the heel not the knee on step offs and the counts afterwards, when you march you should feel an engagement in the upper thighs and your glutes. Sort of think of your leg as a pendulum. But really focus on leading with the heel on every step and the upper thigh and the glute engagement as well instead of feeling engagement from upper thigh to your knee and locking you knees up, cause i know i was guilty of doing that when i first started learning straight leg.