I agree that chilled shot was harder than drop shot. I also am quite certain it was from the alloy, not from heat treating. Certain lead alloys can be hardened tremendously by a heat treating process, but didn't think this would work on pure lead. It will work on Wheel Weight lead, at least the older type, not sure what is used now.
If you have charts which show the number of pellets per ounce for both Drop & Chilled you will see there are more pellets in the chilled. This is because of the small percentage of alloy which is lighter than lead, heat treatment would not affect the number per ounce to a measurable significance.