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Technically, if you get carbon steel too hot when drilling and then cool it down too fast by quenching with oil or water, you can cause a martensitic condition in the immediate area of your drilled holes, a brittle condition from which cracks can start.
Lippert likely tempers and draws down the steel part after it is drilled, punched, formed, and welded to mitigate any brittleness that may have happened during those operations of its manufacture.
In practical terms though, unless you got the holes smoking hot, and/or burned up some drill bits, and then poured oil or water on the holes you should be good to go. If the drilling went easy and you let them cool down on their own, no problems. Don't forget to deburr the holes.
Probably the biggest worry is when the drill bit is breaking through the hole, snagging, and sucking it down through and poking a hole in the rubber part of the pin box.
*40 years of machining, a bunch of them on rockets, missiles, and military aircraft.
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