Depending on the room I have treated slated walls as ceilings and sometimes as walls. Hard to give a definite answer without being in the space and seeing how it connects to other areas, but I think I would go with the white.

What about that horizontal section to the right of the top step? I would do that in white too, so it looks like the ceiling wraps all the way up.

Or you could do the whole staircase shaft (walls and ceiling) in the classic grey ... which might be better so you don't get the blue, white, grey color blocking effect.

I think it’s supposed to be the same as the wall color. What did you end up deciding?