Hello Jim,
As you said, we mostly use brass (sometimes copper) wire because it is easy to work with. Brass is considerably strong but pliable after annealing. One of the important aspects, it is relatively easy to solder with a torch (hard solder) and regular soldering iron (soft solder). Yet another important point - you can blacken parts with the majority of the blackening solutions to have a nice blue steel effect.

Steel is a much harder material to work with, it is required different types of tools as it is considered a hard material. Even after annealing, it is very hard to shape. Also, unless it is stainless steel, it tends to corrosion after some time and become rusted. It is somewhat difficult to solder. But something else I just discovered, thanks for the lesson taught
@PoulD, steel oxidizes and colors the timber it is inserted to.

Silver is probably the best material to use, a lot of Russian modelers love to work with silver. But this material is way expensive compared to brass\copper and\or steel.
Otherwise, no problem to use steel...if you like it! Why not?!!!