Rabbit, I think so they can penetrate armour easier. Tank shells made from DU easily pierce armour from other tanks and the dust inside from the DU burns as well making it a very potent anti-tank shell.
I think the tankers call it a "sabot" which is just a lump of DU (used because you want a very dense material) fired at very high velocities... no explosives involved but probably more lethal than any other wepons against tanks.
Same goes for bullets... they pierce armour easier.
