**Core Concept**
Steroid hormones are a class of hormones that are synthesized from cholesterol and have a steroid structure. They are lipid-soluble and can diffuse through the cell membrane to bind to specific receptors, leading to various physiological effects.

**Why the Correct Answer is Right**
The correct answer is a peptide hormone that does not belong to the steroid hormone category. Peptide hormones are typically water-soluble and cannot diffuse through the cell membrane, requiring specific receptors on the cell surface to exert their effects. The correct answer, being a peptide hormone, lacks the steroid structure and lipid-solubility characteristic of steroid hormones.

**Why Each Wrong Option is Incorrect**
**Option A:** This option is incorrect because steroid hormones are indeed lipid-soluble and can diffuse through the cell membrane to exert their effects. Examples of steroid hormones include cortisol, aldosterone, and estrogen.
**Option B:** This option is incorrect because steroid hormones are synthesized from cholesterol and have a steroid structure. This option is a classic example of a steroid hormone, such as testosterone.
**Option C:** This option is incorrect because steroid hormones are indeed lipid-soluble and can diffuse through the cell membrane to exert their effects. This option is an example of a steroid hormone, such as progesterone.

**Clinical Pearl / High-Yield Fact**
Steroid hormones are synthesized from cholesterol and have a wide range of physiological effects, including regulating metabolism, reproductive function, and immune response. Understanding the distinction between steroid and peptide hormones is crucial for diagnosing and managing various endocrine disorders.

**Correct Answer: D.**