HEAT rounds won't doo much against infantry - but still much more than AP shots
After all, they contain quite a big charge that goes "bang" - so are and were usedoften against soft targets in situations HEAT was only available type of explosive ammo - be it with modern 120mm smoothbore or with Panzerfaust. M72 LAW was used to a great extent in Vietnam against trenches etc., often fired in volleys just prior the assault. RPG-7 was used extensively in A-stan, and modern HEAT rounds even do have sometimes enhanced fragmentation (M830A1) to improve this effect.
In-game, HEAT against infantry was introduced in the last version and is a great addition IMHO. Rules are IIRC (too lazy to check manual ATM) that unit will fire HEAT at inf if weapon does have HE kill, no HE ammo and more than 4 HEAT ammo left. The 4 EAT are kept in reserve "in case".