It's well known, and to the best of my knowledge has never been officially answered as to why exactly it takes place.
I don't believe it's a bug, as it's universal to all HE rounds, regardless of the caliber and gun firing it, including the FlaK 36's on airfields, which presumably have a different ballistic model, due to the presence of randomization of point of impact.
Its my personal belief that it's done for consistency of observation of hits from the player's end. I haven't played the new version, but ricochets had a distinct visual hit sprite from penetrating hits, and additional it is possible to penetrate thin enough armor with HE rounds of sufficient velocity (functioning effectively as APHE rounds).
Thus I believe it's intentionally done just for consistency.