Lead is a nightmare to machine. It's gummy. You'd think aluminum was easy because it's softer than steels, but that comes with it's own challenges. Lead is worse so. You're right that this isn't so bad on a lathe as opposed to a mill or (lol) a grinder, but you're not going to see a need for a lot of solid round shielding.
A little bit of lead in steel will increase machinability, but only a teeny amount. Similar to adding a small bit of phosphorus.
It's also hard to hit dimensions in lead, and if you do hit them, the second the temperature changes you'll lose them. Additionally, whatever you make can't see any stress, or the part is donezo.
Idk if you've ever handled lead - but considering you can bend thick sheets of it by hand and melt it on your stove, I'm sure you can imagine the kind of issues you might have integrating expensively machined chunks of it in to hot high pressure environments with moving parts.
Even though lead is cheap and this filament is expensive, actually getting the lead to shape by machining or working it is also a costly process. 3d printing has a sort of cost ceiling. Once a part is designed, all of the real work is done. For fabrication and machining - once the part is designed the work has only begun.
What might look like a small and simple combination of geometric shapes can cost thousands to machine.
I'd rather spend 500 on filament and a day's engineering labor on a part than the same day's engineering, 100$ of lead, and 1k or more on manufacturing. Not to mention the lead times on machined parts can be wild.
