My first reaction was the same as yours, but since this product was put on the market Winchester have stated several times and in many different ways that this is not an imported case and that is manufactured at their Oxford facility. They also have mentioned the development of manufacturing methods, coatings, etc.
Accepting their words as a fact, I have researched this subject and came across very interesting information.
There is a company located in Tiffin, Ohio named National Machinery LLC that is dedicated to advanced cold forming machinery (http://www.nationalmachinery.com/). In 2012 and 2015 they applied for patents covering the process of manufacture of a “precision forged cartridge case” that can be made of steel or aluminum, and the accompanying drawings illustrates a 9 mm case. These patents were granted in 2014 and 2015, respectively:
US20140083319.pdf (1.1 MB)
US2015174643A1.pdf (806.9 KB)
National Machinery also had a booth at the latest SHOT Show: http://www.nationalmachinery.com/about-us/news/details/2017/01/10/national-to-exhibit-at-all-new-event
And now, regarding the relationship between this and “Steel Forged” cartridges, guess what? The vice president of engineering of National Machinery is the same as the director of purchasing of ammunition and brass of Olin Corp.
Unless I am missing something or this is just a huge coincidence, now I believe that these 9 mm cartridges are “USA Forged” and in fact Winchester has been always honest on the matter.