Hi Dion,
As Imp said, the crew choose the type ammo that it most likely to be effective.
AP ammo is best against armoured targets, but AP rounds get less effective with range. So an AP round may penetrate 10cm at 100m, but only 1cm at 2000m.
HE ammo is best against soft targets, but often has some AP ability. So an HE round may only penetrate 2cm at 100m but it will also penetrate 2cm at 2000m.
To get an idea of AP weapons effectiveness, take a look at this guide:
http://forum.shrapnelgames.com/showthread.php?t=45683
If that doesn't solve the mystery, then post exactly the circumstances that don't seem right; with details like unit, weapon, range, target type etc.
Cross