two thoughts...
1. they might just have iron on the outside of their shoe and wear thick socks
I'd just go with a version of this: boots lined with really thick fur or something. Just think about it: if the Redcaps had an IoP or something that gave them immunity to iron, it would not be an item so rare that it would only work for that individual, so a lot of Fae would hunt them down just for their IoPs.
No, I think it is a lot more likely that they are ballsy enough to wear such things, when other Fae would not. And then only in battle. I mean, you'd hardly, if ever, invite a Redcap to a formal occassion, but when you do (they have lords/Sidhe, no doubt) they definitely won't show up wearing iron boots
And even if iron is so anathema to them that it is like a nuke, think about this: even in our 'civilized' world, we've got countries like Iran and North Korea
Redcaps could be the extremist-fundamentalists of the Fae world!