It's pretty common to use "semi-AP" multipurpose rounds, like the standard USAF 20mm ammo called PGU-28/B.
It's like a normal HE-I round but with a thick, pointy nose cone (there's no sabot penetrator) and the fuze is delayed so the round has time to penetrate before it explodes.
So impact energy is more relevant for this round, than for a "pure" thin-skinned HE shell exploding on contact or by proximity fuze.
There's also a newish ammo type called PELE or FAP(...) or FAPDS, basically a shell containing a sabot penetrator followed by metal balls/shrapnel like in a claymore. No explosives, uses impact energy to spread hot shrapnel. Some of the Gripen nations use it as their standard ammo for a2a and a2g.