A nail or screw through pex may not leak immediately and is a possibility. Eventually, if it is that, the leak will become significant when more rusts away. But, while most of those valves allow pex as the inlet, often you'll run into problems when it is used to supply the tub filler and the riser. That aside, if you used galvanized nipples anywhere, throw them away and replace them with brass. Galvanized piping has no place in a shower.