The question says it all. In the cartoon and comic canon, all of their weapons are strictly energy based with an occasional missile. In all of the movies, 99% of the weapons fire ammunition that uses what appears to be a chemical propellant similar to that which is found on earth.
My question is, is this just for visual flair? Is there any sort of back story to this? Admittedly, it's quite visually stimulating to watch Optimus Prime clearing a spent round.
The scene from above
Also, the scene from the first movie where they expose a cell phone to the Allspark energy and it turns into a nasty little Decepticon. It is able to create a mini RPG and ammunition for its micro mini-gun seemingly from thin air.