Utterly Mad

Well, I could make a couple guesses - steel might present a ricochet concern to them (which means 90% of hunting loads since the big lead conspiracy thing), and they could be worried they don't have proper ventilation to clear out the lead residue from a bunch of pellets vs. a few big ones (which honestly doesn't make a lot of sense as I suspect the amount of lead aerisolized would be pretty much the same, but many ranges have rules which don't make sense).

Realistically though, these kinds of rules result from a single person doing something dumb (our handgun range here doesn't allow any rifle including .22s, or shotguns, because someone shot up some targets with an SKS once), and aren't always logical even objectively speaking. My other guess would be this - someone shot part of the equipment with a steel load and damaged it, so now no loads with many pellets allowed.

Should go find yourself a nice big field to blast away in. Also, if you got the two barrel combo, don't shoot slugs or buckshot through the long barrel.