I just started a new campaign last night and one of the players was a little disgruntled about the penetration value of the hellguns. In short he felt it was too high. As the DM I am operating from some sort of balance perspective where I am assuming since it hasn't been errata'd that the rule is balanced for play. During the showdown on the bridge of the Emperor's Bounty I did inform the players that stray rounds from the hellguns would penetrate the already cracked glass in the bridge's vista and cause the chamber to decompressurize resulting in their deaths. They were not wearing voidsuits.
Here are my thoughts on Hellguns, I think they are balanced due in part to the reload time and their sheer weight and bulkiness. These are not subtle weapons. And if you really want to spend two rounds reloading them in the middle of a fire fight than so be it. Most of my bad guys tend to come in two types, one the heavily armored ones and two the completely unarmored ones. As a result the high penetration is really only useful about half the time. I did at one point tell the players to stop calling out their penetration values with their damage rolls because they were irrelevant & I got tired of hearing them. And of course what's good for the goose is good for the gander. Someday my NPC will have a hellgun, and then I'd like to have a high penetration value too.
My question posed to you GMs that have played this game is: Have you or any of your players have felt like there was a balance issue regarding the hellgun's penetration value?