Well, it doesn't have to be "specialty designed" ammo -- there's a billion types of ammo to choose from already depending on the caliber arm-gun they install. Adding fingers seems like unnecessary complexity and potential failure if the hands get damaged. But, hey, I'm not a war-robot scientist. Why not just give it a big knife to hold like the combat suits in Avatar?
You want your expensive robot to bring a knife to a gun fight?
To be fair though, I'm not sure why they would just use cheaply available human labor if that was the case. There's got to be some refugees who'd be happy to risk their life in exchange for a visa or similar.
That monster in the mirror, he just might be you. -Grover