Don’t worry, lead isn’t that toxic. It takes a lot more exposure than the occasional handling to get heavy metal poisoning from it. But yes, odd to use lead as a weight (or put a weight in, perhaps it’s a heat-sink?) it’s fairly expensive. It could be a lead alloy which makes it more malleable, though a small peice of pure lead like that I’d expect to be easily bendable, but not compressable like clay.