They can get a little picky with lead head rounds and that becomes apparent mostly if the gun is dirty. Usually the coated rounds work fine. Yet some guns seem to do well with lead heads.
My Sig has no problems with any CCI round. Recently I tried Remington Golden Bullets (in bulk package) and had no ammo problems at all...I shot over 200 rounds.
For about a penny more per round, the copper coated round are worth it.