No first-hand experience, but I've heard two reasons not to shoot steel. One is that the steel cases don't expand as well as brass, and that allows more of the gases to escape which makes your gun dirty faster. The other is that steel cased ammo has a lacquer coating to prevent rust, which melts upon firing and that residue, in some guns, will cause ejection problems. But again, this is hearsay.
Does your gun's owner's manual say anything about using steel?