P60's A legal requirement?

I am getting the run around from a pension scheme administrator who has not supplied my client with P60's since she has been retired. I need them to check coding notices and possible overpayment of tax on various sources of income. The administrators say that a March payslip stands in lieu of a P60 and that they do not have to issue P60's to their pensioners, which they don't apparently. Yet my Hardman's and other sources  state that the 'deadline' is 31st May each year. So how can this be true if a P60 is not a legal requirement anyway. I have tried the PAYE CD issued by HMRC but I am no further forward.