Sounds like they're saying the un-shot ammunition found with the rifle had the engravings. If I'm mistaken on that, could you please link to where they're saying bullet specifically?
Still, as someone who's tried to paint tea cups, have to agree, curved surfaces are a bitch to mark legibly (probably harder on the smaller surface of a bullet casing).
Was it South Park (as in Matt Stone and Trey Parker + studio) proper or was it Paramount and/or Comedy Central?
Seems like a very likely move that the studios pulled it. It seems unlike Matt and Trey to pull an episode, even as drastic as the situation is (don't know that anything comparable that could be attributed to them has happened in the shows history - open to being corrected if I'm wrong on that).