That only happens if you’re at full reserve ammo capacity. At full capacity you have 2 shells in grudge and 17 in reserve. If you shoot once and refill your ammo it will automatically reload. If you have space for the ammo you picked up in your reservet it will not reload unless you do it manually.
Tl:dr you can only carry a set amount of ammunition and you have to put it somewhere (and yes, there are exceptions to how the ammo counter display your reserve ammo, and yes there is also possible to get more than your max ammo)