Last year, I found two fragmented pellets (#5) in a mallard shot at about 30 yds, maybe a little less. Those are the only two pellets I have ever seen. One pellet was lodged in the ball ball of the humerus and the other had penetrated the sternum's keel. I do not know what the velocity was, but I don't get too carried away with fps stats, so probably not more than 1250. Otherwise, I've never seen a fractured pellet in any bird. I have not been shooting a lot of waterfowl until last year however. Pheasants have much lighter bones.
Roster compared the penetration of steel vs lead when he ran his steel shot tests on pheasants. He found much more feather balling with steel pellets on pheasants than he had anticipated. One reason for that may be that pheasants are much more likely to be shot going away, while waterfowl are more likely to be shot as crossers or incomers. As anyone who has shot many pheasants will have observed, you can shoot a rooster in the ass and you'll get a very impressive cloud of feathers . . . and the bird will keep on flying.
