Yes the game is good at picking the ammo that has the best chance of penetration for the range. So you don't have to worry about it, leave it the loader ;-)
Very occasionally you may wish to conserve a particular type of ammo and overide the AI, but the game doesn't allow that type of micro-management. And that's probably as it should be, and may give you an unfair advantage against an AI opponent.
Cross
I think Green troops perform worse when choosing ammo, because i once had a 75mm pak fire a sabot into a halftrack...
I guess in the smoke and confusion, if you squint and look a bit sideways, it looked like a Pershing
The crews get it right most of the time like any crew on the odd occasion they muck up, one of the reasons you cant choose is cause it should take you a shot to do so. Halftrack comes into view now fire whats loaded or unload it n put something else in by which time its reached cover.