Lee's instructions are to lube the bullets before sizing, and then to lube them again after sizing to compensate for what has been rubbed-off in the sizing process. I like to pan-lube my bullets with conventional lube, size them in the Lee sizer, and then use the Alox as the final lube.
Depending on the bullet, if you don't lube before sizing, you could stick them in the die; probably what has happened here. Some bullets and bullet metals may not require this, but it is always safer to lube.
Relative to the warning on the back of the Alox bottle, that it contains chemicals that cause cancer, birth defects and reproductive harm as determined by the state of California, I think the same is said of lead bullets and many of the things we use today. It's everywhere...everywhere.