The grex cushions the pellets during firing the way plastic peanuts protect your fine china in a box when you move. Many magnums pellets are also copper or nickel plated. Opinions on the value of plated shot are not unanimous, however. Modern copper or nickel plating is not thick enough to make pellets significantly harder. Plating does improve shot lubricity, helping pellets flow more smoothly out of the choke.
Many shooters also believe plating helps pellets penetrate deeper when they arrive on target.
Some large shot steel loads are copper plated for rust prevention. These loads, generally speaking, contain less shot than a magnum but are loaded to a higher velocity. High brass shells work well for shooting at longer ranges and on big birds, like pheasants. In shotshells, anything approaching or exceeding 1,300 fps of muzzle velocity is very fast indeed. High velocity loads require less forward allowance at longer ranges, and are thus easier to hit with.