As with the above, I've only shot brass until recently. I avoid steel for the reasons given, true or not. But I did get some aluminum-cased 9mm HP on a bulk buy recently and not had any problems -- until the other day.
My Tanfoglio Witness Pavona would FTF on pretty much each fresh magazine. I would insert the mag, rack the pistol, and... nothing. I would then disengage the mag, press the first round back into the mag and re-insert. Then, it would fire uneventfully until empty.
This has never happened with brass. I'll try again with brass to make sure something hasn't gone awry with the gun, but since I was also shooting my P225-A1 at the same time, with the same ammo, and no FTF, I'm guessing the Pavona is pickier about the ammo it's fed.