Uranium is used in munitions because of its mass, which allows it to go through less massive materials like steel or concrete like a hot knife through butter. It is used both for bullets and shell casings. Especially anti-tank rounds and shells designed to penetrate hardened military facilities. The idea is that the uranium penetrates the armor and the charge then explodes once the round is inside.
I would like to request some reference on the use of Uranium in the casing of a shell or round. The casing gets thrown out on the ground (by both aircraft and tanks) when the round goes off. There is no reason to use anything other than brass or steel for this. As to the use in a round, the idea is like a sabot. When the ke of the shell is conserved on impact the more massive core goes right on into the target. I can find no reference any U-core round being HE or otherwise carrying a charge. In all cases that I am aware of and can find reference to it is simply a KE attack on the target where the by products of the impact bounce around inside the target grinding up whatever is in there. Take care.