I thought it reasonable to assume that and also the same muzzle velocity.Identical density, suggests identical material used to make the pellet.
No. Pellets are slowed by resistance to air and since the smaller pellet has a smaller frontal area it won't slow down quicker than the larger pellet. In this scenario pellet density is what matters and relative mass is irrelevant.If the pellets have the same density, (same material) then the smaller pellet will have less mass, so will slow down more quickly, when fired at the same speed.
If you drop 100Kg lead ball and a feather in a vacuum at the same time, they will fall at exactly the same rate and hit the ground at the same moment.
Steel is lower density of course therefore less mass for a given shot size.This is why steel 9's, have to be fired faster, to retain a similar energy down range, as lead 9's.
I don't dispute Will's findings; no one can argue against empirical results, but I wonder if the comparisons were based on like for like shells where the only difference was pellet size.