Ammo
Ammo plays an important part of firing a weapon. A lot of weapons feature multitude of Ammunition, sometimes 3 or 4 different kinds to be used, all with various different applications. It is rare, that Ammo is a straight up "upgrade" to another ammo - and in most cases, they have positives and negatives when compared to each other.
Ammo differs in how much resistance they add or remove from the enemy. In what and how much damage-type they apply. In case of explosive ammo - its radius. And even weight, which might be an important factor for a sneaker.
Ammo Choice
For example, Rockets might differ in that you can trade Armor Penetration against Explosion Radius. An AP Rocket has a small explosion radius, but can pierce a lot of armor with 100% damage applied directly as explosive damage, whereas an HE Rocket has a huge explosion radius, and would do more damage to unarmored or lightly armored targets, due to 75% damage being directly applied as explosive damage, 15% applied as normal damage and 50% applied as bleed damage - resulting in a total of 140% damage when compared to the AP Rocket. However, it does lack the Armor Piercing capabilities of an AP Rocket, resulting in less damage against heavily armored targets. Then there are Thermobaric Rockets, which differ from the previous two yet again, as they are harder to come by and require a higher tier to be crafted. But are somewhat in the middle of both rockets by being right in the center of the explosion radius. Offering more damage due to 150% applied as Explosive damage, but no Armor Piercing capabilities (in fact, increasing the enemies Armor Resistances somewhat).
As you can see, choosing the correct ammo is important if you want to be successful. Often times, you want to take multiple ammo-types with you, in order to reload the correct ammo in the encounter you find yourself in.
Reloading different Ammo
Once you reload your weapon, your character will always try to reload the last used ammo-type. If you want to force-change a specific ammo-type, you will have to open up the inventory and drag the ammo you want to use onto the weapon. This will unload and load the current weapon (Take care of the AP Cost!).