Steel shot is ineffective.
This is a rumour from the very early days of steel shot development. Field trials comparing lead and steel shot have found no differences in a number of measures, including lethality and effectiveness at practical shooting ranges .
Information on steel shot and what you need to know from a safety point of view can be found here: (need weblink creating, piece is currently a downloadable PDF on the main sustainable ammunition page).
 – An 11-year study at the Camargue, in France, found that: “After 11 years of hunting with non-toxic shot, there was unexpectedly no clear pattern in trends of individual effectiveness among hunters.”