FIND A NEW RANGE!!!!!! i'll be damned if they are keeping and selling my brass after I already pay for the time and targets. I haven't found any ranges around here following that practice. BUT.....obviously the customers haven't made much of a fuss about it to make them rethink it, so why not...
anyways, if your a heavy shooter, like several thousands of rounds a year, I would stay away from steel cased, not that the steel "case" hurts anything, but the bi-metal "jackets" on the steel cased bullets are proven to reduce your barrel life. if your only running a couple hundred a month, I wouldn't care, your likely not going to be wearing out a 9mm barrel. some guns just won' like it though and it can be hard on extractors. I am not against steel ammo though, I have only had issue in one small rifle caliber and have shot gazzilions of 9mm tulammo, never had a problem, some do have issue with the unusually hard primers.
if I were you, and were not planning to reload in the future, I would try several boxes of the black and red tulammo from Walmart, makes sure your gun likes it and if it does, you can buy 1000 rounds for 200$ from bulkammo etc and be done with it. I don't like WOLF or Brown Bear because of the heavy lacquer.
if you find Russian steel not to be up to your standards/repeatability/reliability in your fire arm, then I would go with brass cased Privi Partisan or "PPU", they make fantastic ammo at way better prices than any other brass-case. clean, accurate and consistent and will only run you about 30$ more per thousand than steel, and collect what you CAN for reloadind when get serious.
http://www.luckygunner.com/9mm-115-grain-fmj-tula-black-1000-rounds
http://www.luckygunner.com/9mm-115-grain-fmj-prvi-partizan-1000-rounds
lots of people like BLAZER, I don't find the charges to be consistent and don't like the brass for reloading. but you may have a 100% different opinion and they are worth a try, plus a tad cheaper than the PPU
http://www.luckygunner.com/1000-rounds-of-9mm-ammo-by-blazer-115gr-fmj
i know you may not wanna drop 250 bucks on ammo at once, but you will be so happy you did once you have it and don't have to be bothered with it anymore and it saves a ton in the longrun, not to mention footwork. I highly recommend playing with bullet weights before settling on a bulk buy, unless you are practicing to mimic your defensive ammo or for other reason. I can rarely tell the difference between 115 and 125gr shelf ammo in terms of accuracy, but I have a 9mm pistol and a rifle that really shines with 147gr bullets.
Personally I agree, if you can, take your business elsewhere. However, to answer OP's question: Steel case is fine. If you don't want to roll your own, I'd go with whatever is cheapest.