Solution:
The cross covers at most five cells so we need at least 4 steps to change the color of every cell. If we place the cross 4 times such that its center lies in the cells marked below, we see that we can turn the whole square black in n=4 moves.

Furthermore, applying the same operation twice ("do and undo"), we get that it is possible to turn all the cells black in n steps for every even n≥4.
We shall prove that for odd n it is not possible to do that. Look at the picture below.

Let k be a difference between white and black cells in the green area in picture. Every figure placed on the table covers an odd number of green cells, so after every step k is changed by a number ≡2(mod4). At the beginning k=10, at the end k=−10. From this it is clear that we need an even number of steps.
Solution for n is: every even number except 2.