Only thing is, do I need to tell my game dealer the pigeon have been shot with steel? Could it cause a problem for him so far as processing is concerned?

Pigeon shooting
As far as I am aware, there are no health and hygiene issues associated with steel shot in pigeon entering the food chain.

Some game processors already put warning notes on their products, advising care with spent pellets in the meat, but I doubt whether there is any need to specify those pellets may be made from steel.