You are correct, Chancellor. Once you go underground, the Shadowhand Claw takes over as your only melee weapon plus your Shadowhand spells, of course. As I remember, there is no "human" ammo in the Vampire World, even when you find human survivors. Consequently, going back to do the early Challenge Rooms becomes a bit of fun rather than useful. You get maximum benefit if you do them as they become available.
I was very happy with the Vampire weapons, though I did hoard rifle ammo so I had a scoped weapon in my armourey. This can be useful if you're not much of a run'n'gunner like me
. I missed my beloved Shovel at first but the Claw soon replaced it in my affections
I hope you still enjoy the game and good luck with "Serious Uncle Sam"
Cheers
Greybeard