I'll add that I have a few old tying books (seventies era) that deal with beads, but don't mention lead. My guess is that there are properties more important than weight at work here. Hap suggested "finish" in his post, so maybe it's as simple as paints/glazes/whathaveyou just don't bond to lead in an an acceptable way.

Personally, I haven't done any work with bead heads yet, so the above is nothing more than supposition.