Splatter isn't an issue with the target a good distance downrange, and the concern about steel hardness is only partially an issue of preventing holes in the target.
If you shoot steel that is too soft or shoot steel with a load that's too heavy for the steel you can crater the target. Cratering the target makes small depressions or craters in the steel. If you shoot a cratered target, a bullet hitting one of the craters can be reflected back to the shooter.
Safe steel targets don't crater when shot with the caliber(s) they are designed for.