Rounds do eventually disappear in AH. They don't just keep on going until they hit the ground.
It's been quite a while, but I believe HTC said the rounds will disappear after a certain amount of time passes (not range). I forget how long it takes...
Anyway, rounds will travel farther at higher alt, because they slow down less (less air density modeled).
You can easily verify this by using the .target. Fly on auto-level 1000 feet or so above sea level, and fire at the target at progressively longer distances, until you see that the rounds fail to make any marks on the target. You'll see that they stop marking the target far before they would ever fall below the target.
Then climb up to 10-15K, and repeat the experiment. You'll see that the range has increased with the extra altitude.
Since the "disappearance" is time-based, rounds that fly faster will continue to impact targets out at further ranges than will rounds that fly slower...