Generally ships used HE on bunkers too. At 20kyds a 16” Mk7 could penetrate 12.5 feet of reinforced concrete with HE. Of course, the base fuse was used and a steel cap was put in place of the nose fuse.
As for the game, I would expect it is working as intended. Because many ships carry AP heavy loads they would almost always run out of HE rounds if that was the only shell that could be used on bombardment targets. So instead of changing the load out specifically for bombardment missions the devs took an easier route.
They will usually use HE, it’s likely however that your ships crew made a mistake and used AP instead, this can happen sometimes in game(especially with crews with less training) as a way to simulate such faulty ammunition selection in real life naval combat(like Japanese Battleships firing AP shells at US destroyers in one battle)