I don't trust the PA63s, having had one discharge on me when I decocked it. The parts of the safety mechanism are prone to wear, making this a possibility, and FEG isn't exactly a world leader in QC and workmanship, particularly regarding their surplus commie era guns. Stick a pen or pencil down the barrel (empty chamber) and decock it periodically, check to see if the pen or pencil goes flying or even moves much at all. If it does, that's a bad sign.
Anyway, all commercial handgun ammunition sold in the U.S., save certain exotic and frangible offerings, is going to have a lead core. There are steel core 9x18mm rounds made in Russia and elsewhere that are designed to better penetrate soft body armor. ATF regs prohibit these from being sold commercially in the United States.
Prvi ammo is generally okay, and the Wolf brass cased Gold pistol ammo that I've bought was actually Prvi. Georgia Arms loads a JHP offering with Gold Dots for the 9x18mm last I knew. Otherwise, most people just use cheap steel cased Russian ammo. It's dirty and often smells terrible, particularly on indoor ranges with bad ventilation (the combustion gases may well be toxic for all I know, try to breathe the vapors....). Since most 9x18mm guns are inexpensive, most users don't worry about using the steel cased ammo and it was likely what some of the guns were run with originally anyway.
Which one is yours, a PA-63, an R61, an R59, or a SMC-918? For what it's worth, my experience has been the small design improvements incorporated in these inexpensive Hungarian guns make them more reliable and pleasant to shoot than Walther PP/PPK series guns (though the quality of finish may certainly be better in a given Walther) - I'd rely on an FÉG 9x18, but would hesitate to do so with a Walther .380. (This is certainly not a popular opinion, though it is an informed one. Don't ask me about my thoughts on Star Model BMs vs. 1911s, either! 
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