The factory has access to powders that we can't get, and can do things with their process that we can't do with our reloading dies. I've loaded .500 bullets without a cannelure. Speers, not Winchesters though.
I like to load full-house loads, and that usually means using a slower powder like H110/W296, Lil' Gun, etc. At least in a revolver, these powders require a strong roll crimp in order to burn consistently. When I used them with the non-cannelure bullets, velocity was much less consistent than what I'm used to getting with cannelured bullets. I stopped when I got one of those weird 'yellow-powder' H110 squibs. Again, this was in a revolver. You might get better results in your contender.
You can also try a faster powder. Alliant has Power Pistol data, and Hodgdon has data for Titegroup in the .500. Neither of these powders require a strong crimp to burn right, but they're lighter charges. For example, Hodgdon has a Titegroup load for a 400gr Sierra JSP. The max charge weight is 17.5 grains, for a velocity of 1335 fps. The max H110 load for the same bullet is 40.0 grains, and the velocity is 1721 fps.
In addition to the lower velocity, the velocity tends to be not as consistent when loading a small charge in a big case because powder is position sensitive (even Titegroup). The velocity will change depending on how the powder is laying in the case when the primer ignites.
You can use your roll crimp die on them, just go easy with it. If you set it right, you'll flatten out the bell and apply sort of a taper crimp. Experiment a little with a dummy round and you'll see what I mean. Seat a bullet into a sized/expanded case, loosen up the crimping die, run the case all the way up into the loose die, and crank the die down by hand until you feel it hit the case mouth. Keep cranking it down by hand little-by-little while removing case to check the crimp. When it looks right, try another and adjust from there.
Experiment a bit with it, and you might find something that works for you. I only had a few hundred bullets so I didn't spend a lot of time on it (I ended up trading with a .50 Beowulf guy for some cannelured bullets he had).
I don't know how many bullets you have, how much you paid for them, and how much .500 you shoot, but that cannelure tool is $100, it introduces a time-consuming bullet prep step, and the resulting bullets may or may not shoot well when you're done with them. I don't know one way or the other as I've not tried it.
