Steel shot is obviously harder than lead this means it cannot compress so it can damage some guns. Tight chokes, forcing cones and bores can be damaged by the shot scoring them.
Modern guns are typically made with over size bores and lengthened forcing cones to ease the transition, tight chokes will still be marked not for steel shot. The steel will probably still wear the barrel out quicker than lead but there will be damage per se.
Modern ammo is also usually loaded to higher pressure so old guns may need checking to ensure they are able to withstand it.
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