Check out manuals given here:
http://www.lexpev.nl/manuals/germanyold.html
You'll find plenty of (German) ammunition manuals, for aircraft and artillery. German tank and AT guns often had two types of AP rounds - the standard AP round with explosive contents, and the "only use if penetration cannot be achieved with the standard AP round" round without explosive contents.
Naval artillery to my knowledge used only explosive AP rounds. Aircraft standard AP rounds were also explosive, with specials available. AP bombs were explosive. All this to the effect of generating splinters, which simply add to the damage of the splinters created from penetration. There were very few AP weapons to rely solely on kinetic energy in WW2.
Pursuivant, the shrapnel created by a single 20mm or 30mm round penetrating is by far not enough to reliably take out a medium sized or larger WW2 tank. You may get lucky, but to be sure you'll need more than one. Even to reliable do considerable damage, not the outright kill. It's one of the reasons small calibre AT guns in widespread use at the beginning of WW2 were replaced by bigger ones - even if you achieved penetration, you'd still need multiple hits to stop the tank.
Igo kyu, no matter the what participant gets damaged in the impact of the projectile, to remove the armour from the original position you need energy, and the amount is the same no matter if the projectile just penetrates, or easily. Assume a certain armour can just stop a certain projectile coming in at 500m/s. Now if the same projectile comes in at 600m/s, it will go through, but end up at 330m/s and at 800m/s come out at 620m/s, for the same loss of energy. The energy to displace, tear up, heat up the material has to come from somewhere, and it comes from the kinetic energy of the projectile.
What you are considering is solely the aspect if a round can penetrate or not. It's also important but not all. It is about the mechanical strength of projectile and armour. A thick, hard armour will break up an AP round, a thick, soft armour will stop the AP round intact and a thin hard armour will break up under the impact of the round. You are completely right that a penetration with both the armour and the projectile suffering significant damage is rare - but this has little to do with the energy required for penetration.
The reason why the standard AP round carries more energy is because it carries part of its energy as chemical energy of the explosive inside. This energy does not change with muzzle velocity and range, and will only be converted to damage after penetration. The 30mm round mentioned carries 14g of PETN (iIrc, don't want to look it up again). This equals about 50% of the muzzle energy of the tungsten core round, and with the projectile twice as heavy, the tungsten core round ends up with less energy than the standard AP.