The 6.5" S&W .500 is not very different from the old Dan Wesson .44 Magnum with it's radially oriented ports in the barrel and a small "chamber" inside the barrel shroud leading expanding gases out top-mounted vents in the shroud. Dan Wesson was emphatic that lead bullets not be used due to lead build-up in the space between barrel and shroud, and of course Dan Wesson intended the barrel be user-removable. The build-up of lead matters because it begins to fill in available space and would make barrel shroud remvoval difficult or impossible. Since S&W does not intend that the user remove the barrel they probably care not if one uses lead bullets and the number and size of the barrel ports does indicate it would take a LOT of lead bullet shooting to clog up the recoil compensator ports, but I'm sure someone dedicated to shooting a lot of lead bullets might manage to do so!
I have not been able to find any message or warning from S&W about using lead bullets in the 6.5" so maybe they don't consider leading to be a problem.
The other models with removable compensators are able to shoot lead bullets just fine.