The incident rolled out in the 35th over of South Africa’s run-chase when Phehlukwayo tried to slog sweep Adil Rashid over mid-wicket, but Stokes timed his jump to perfection.
Eoin Morgan, Jason Roy and Joe Root too scored half-centuries but South Africa did not let England put up a big total on the board.
Steyn's absence on leaves the focus on Kagiso Rabada, who will play his first World Cup.
Skipper Faf du Plessis smashed his way to 88 while Andile Phehlukwayo produced an all-round effort.
JP Duminy, who scored 76 runs in the series, has jumped from 39th to 32nd spot.
With momentum firmly on their side, South Africa will use this match to finalise their playing XI ahead of the World Cup.
A blazing innings by tailender Isuru Udana could not prevent another heavy defeat for Sri Lanka.
Udana's efforts have given Sri Lanka a chance to make a comeback in the fourth ODI.
All-rounder Andile Phehlukwayo was missing because of a hand injury. Fast bowler Anrich Nortje was selected to make his international debut.
Azhar also feels captain Virat Kohli has become much more matured with his leadership.