Of course, we're starting by acknowledging a perpetual motion machine is impossible. The question, then, is how do we understand, through chemical thermodynamics, why your specific set of steps can't constitute a perpetual motion machine.
The answer is that the electrical energy required for your step 2 is much greater than you get back from your step 4, even if we don't have losses.
To understand why, let's simplify things by considering the pressure-dependence of the free energy of a pure substance at constant T: dG = VdP. In step 2, because the pressure is so, high, you have increased the free energies of both the reactants and the products relative to what they'd be at atmospheric pressure. To get the actual changes, you would need to calculate $\int^{P_f}_{P_i}V(P) dP$ for the reactants and products. Since the products are gases (oxygen and hydrogen), and the volume of gases is much larger than that of liquids, the free energies of the products would be raised far more than that of the reactant (a liquid). Thus the magnitude of $\Delta G_r$ (the free energy change fo the reaction) for step 2 (which is at high pressure), will be substantially greater than it is for step 4 (which is at low pressure)