Well, jhenry, that's more first-hand, real world steel shooting than I have done with the .303. I suppose those folks at the range had a pretty good reason for nixing the FMJ!
Do you remember what kind of ammo you were using? I usually shoot the Sellier & Bellot FMJ, which has a full lead core. I suppose I could see it punching through steel if the lead is hard enough. I have also shot some surplus ball ammo with the wood nose cone. I would be surprised to see that stuff do it. I have found the wood-nosed ball to be remarkably accurate, though.
"Democracy is two wolves and a lamb voting on what to have for lunch. Liberty is a well-armed lamb contesting the vote!"
--commonly misattributed to, and most likely not, Benjamin Franklin