Hunt: Showdown does it best, at the equipment screen you should be able to modify the ammo you want for your weapon to use (and pay extra for it if they want to go that route)
Ammo options could include:
Dumdum/HollowPoints that cause bleed/add bleed stacks on enemies - but weaker against armor
Incendiary ammo self explanatory - Also weaker against armor
Full metal jacket - Armor piercing ammo
etc
They would be more likely to add new weapons / weapon variants that can load special ammo (such as the shotgun) instead of introducing an entirely new mechanic.
The shotgun’s implementation of specialized ammo is really lackluster, they could have done something way more interesting than just horizontal spread. I would’ve preferred the baseline shells to have more spread, and have the option to load solid slugs to deal with tougher or longer ranged enemies.
the funny thing is the lore is going so hard against you it’s funny. autoguns biggest draw is they don’t take alternative rounds because they’re caseless and the single-piece rounds produced in stupid huge quantities.
they’re also already armor piercing, it’s just they’re not really up to most up to date 40k armors because they’re like 9mm rifle rounds.
you probably want stubrifles, which have different ammo loads but are also so damn old that nobody uses them.
Can I use the Emprah’s Calibre? (.45 ACP)
Wait… I HAVE A NEW STUB GUN IDEA!!!
It’s not new. It’s been around since Rogue Trader.
( Warhammer 40,000: Rogue Trader, ISBN 1-869893-23-9, page 80)
Also, all Ogryn Heavy Stubbers::
2066
Stationed on mars to quell a rebellion
Become side door gunner for atmospheric dropship.
No miniguns or gatling cannons, just some metal brick with a pipe on one end.
Get sent in to extract some wounded.
Reach the evac zone and come under attack.
Hordes of rebels charging in with their new plasma guns and compact rocket launchers.
Let loose a stream of bullets.
The sounds of the rebel’s screams are nearly drowned out by the heavy “Kachunk chunk chunk chunk” of the machinegun.
The wounded are loaded up and returned to base.
Inspect MG afterwards.
Thing was made in 1942
Tunisia, Italy, Germany and Ukraine are scratched onto the gun.
Scratch “Mars” on with a knife
Sorry, I didn’t mean new as in I discovered something new entirely, just that it’s got me pumped for a 40K M1911 
While we’re at it I’d like a 40k Deagle, or a nice double barreled shotty.
Limited customization so special action is changing Mags to special rounds rather then Bash or a flash light. Forgeworld version of the weapons make sense to the lore and to the variants it would be a great blow to the Feel and the World of 40k just to keep making weapons rather then just customizing specials actions.