The .357Mag metal piercing is not "illegal to have in your gun", at least not per federal law. A particular state may have a law against it though I would imagine they would prohibit possession all together and not just the use.
http://nucnews.net/2000/du/98du/981204du.laws.htm
"WHAT FEDERAL RESTRICTIONS ARE PLACED ON AP AMMO?
If you are NOT a (FFL) licensee under the Gun Control Act (an individual):
It is:
ok to OWN AP ammo
ok to SELL AP ammo
ok to BUY AP ammo
ok to SHOOT AP ammo
NOT ok to MAKE AP ammo (18 USC sec. 922(a)(7))
NOT ok to IMPORT AP ammo (18 USC sec. 922(a)(7))"