I doubt you're misunderstanding the game. They're supposed to run out of ammo, after all. Do you get the same results in a custom battle? Also, did you try what I suggested with any success?

If not, you can try copying the entire unit entry from the multiplayer EDU into the singleplayer EDU - this is what solved past issues, so perhaps it might work where changing only a single line will not. Their ownership is the same so there's no need to worry about losing them mid-campaign. If that doesn't work I'm mystified, because I have no idea how to give a unit unlimited ammo beyond editing the user 'preferences' file (the 'LIMITED_AMMO' entry), which I assume you haven't done?