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Couple of reasons, first some pick up the brass to make extra cash but the main reason is most steel cased ammo the projectile has steel in it too. If you hold a magnet to the projectile it'll magnetize. With the projectile being steel it can cause Sparks/fire and penetrates quicker than brass cased ammo. If you find steel cased ammo that doesn't have a steel core projectile like hordany steel match, or tulammos range friendly version most ranges will let you use them. Hope this helps.

Robert, Steel cased ammunition generally cannot be reloaded and most steel cased ammunition use Bi-Metal bullets with steel and other alloys in the bullet jacket which can damage normal shooting range backstops. Cheers and stay safe!

Steel core--Steel core rounds shot into a steel backstop or trap will cause damage to the backstop. Unlike lead rounds the steel is much tougher and does tear into the ranges structure. Because the steel round does not expand like lead it more penetrating. Steel case--A gun range may prohibit steel cased ammo because the spent shells get mixed up with the brass ones. Steel cases are non-re loadable and they must be thrown away or discarded.

safety! Unburn powder is carried down range every time someone shoots the steel can cause a spark which can ignite that unburnt powder I know a range that had their back wall blown out by this happening

Steel core--Steel core rounds shot into a steel backstop or trap will cause damage to the backstop. Unlike lead rounds the steel is much tougher and does tear into the ranges structure. Because the steel round does not expand like lead it more penetrating. Steel case--A gun range may prohibit steel cased ammo because the spent shells get mixed up with the brass ones. Steel cases are non-re loadable and they must be thrown away or discarded.