I've shot steel for years... take it from me... bullets and fragments will do unbelievable things when they hit steel.
SPEED kills and damages steel. I punched a hole CLEAN THROUGH my MGM AR500 IPSC size target at 100 yards with a .22-250 and a Sierra 52gr SMK... I knew better.
If you shoot at closer ranges two things are a guarantee... 1) you will dimple the targets; and 2) sooner or later you're going to see or feel splash-back. I once had a ricochet go over our heads and hit the tin roof of our farm house almost 100 yards away.
I still have a piece of .40 S&W bullet jacket in my right wrist from shooing a plate rack at 20 yards with standard velocity ammo.
We shoot steel at SWAT Training twice a month, 18-20 shooters, several hundred rounds each, so I see A LOT of steel vs. bullet reaction. I give classes where we shoot steel at less than 100 yards and we've had pieces come back w/o causing injury... EYE PRO ALWAYS no matter what.
Frangible ammo is a different story, no issues that I've ever seen, albeit I've shot VERY LITTLE of it over the years.