So I was playing the Fist of Crota a mission when I popped a heavy ammo synth to help kill some baddies. Decided I wanted to start again and went to orbit. I jump back to Fist and discover that I'm out 2 shots (carrying newly acquired Gally). I tested it out a few more times and discovered an empty heavy weapon. :(
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This is intentional. Ammo is lost when you go to orbit. The glitch was when you died and lost it due to death.