Heated, like super heated bullets would actually be less adept with penetration and would more easily deform on impact with a solid object, it may have better yawing when it impacts soft targets like body tissue or the like.

It'd be much easier, faster, and less intensive to simply make jacketed ammunition for AP duties. A number of 9x19mm rounds exist IRL which use P+ powder loadings and AP rounds, these are famously used by Russian special forces weapons.

However recoil obviously is more, unless you strengthen the weapon's recoil absorbing system, then you will have issues loading normal 9x19mm ammo and can only use your P+ AP ammo.

However this is Fallout so w/e. lol.