I've run into it a few times, mostly indoor ranges that are using flat steel plating for a backstop, which won't allow any metal jacketed ammo, whether it be FMJ or soft tips. Many older ranges just have plate steel mounted against the wall, which doesn't provide any deflection of the bullet. In lead only bullets the lead flattens against the plate and drops to the floor. But in jacketed ammo, the jacket tends to ricochet, sometimes back to the shooter.
It seems that the ranges that use 'bullet traps' rather than stops, allow jacketed ammo, as the steel is angled to direct the ricochet downwards into the trap.
I've even heard of some ranges that prohibit it outdoors, but I've never run into it myself.
As for the 'lead coated FMJ'. That's a new one on me. As far as I know, nothing like that exists. Sounds like another person who doesn't know what he is talking about, or is making up responses to support his reasoning.