Opinions vary on all this.
Some people say its to let the gun parts smooth themselves out (getting any microscopic burrs etc ground off). Others think that the gun is just fine from the factory. For auto's I usually run 200 rds as a break-in period. I use FMJ as its cheap but I'm also willing to do some of that with JHP loads to see if the gun like them. Now if the gun is acting glitchie during that last 50rd or so I'd probably run another hundred plus through it until it settled down. I've never had a gun have issues past the first box of ammo so for me its not an issue. I feel that the break in period also give me a chance to get used to the gun, I guess you could say that the gun "earns my confidence" so to speak. Revolvers get a box or so as they don't have the potential feeding issues auto's do.
As far as steel cased ammo, it depends on the gun and the type of ammo. If the gun is ex-Soviet I'll feed it anything and not worry about it. If its not, I'm not willing to run the older lacquer coated ammo in them, but the newer powder coated stuff doesn't worry me. Some people have managed to get a lacquer build up in their chambers and its a pain to remove and can cause bad things to the gun/the operator.
Some people won't use steel cased ammo (or aluminum cased ammo for that matter) thinking that it is hard on some of the gun internals (extractor and ejector are two that come to mind). Someone wiser than me pointed out a couple of things that caused me to classify this as a non-issue. One is that during WWII we made lots of steel cased ammo and it didn't cause any issues with the guns used. The other is that there are various grades of steel and the grades used for casings are softer than what is used for the gun parts.
Now with all that said. If you don't want to run steel cased ammo (is Wolf, Silver Bear, Brown Bear etc) thats up to you. Some guns won't like to feed it due to it being a steel case (or aluminum case for Blazer ammo). Almost all of my guns haven't cared (my XD doesn't like aluminum but it was a small test group). I'd suggest getting a box to see if the gun likes it so you aren't stuck with 950+ rds of a load your guns refuses to shoot (its happened to people). The main reason many people shoot the steel cased ammo is that is cheaper than brass cased (I know thats why I do, but I keep some brass cased ammo around for training classes etc). Also, if you want to run 500 (or more) rds before you consider your gun broken in, thats your choice.
Steelheart