Only MA and CA have state laws relating to the shipper of ammunition, and those only apply to one who is in either of those states. Any other state is completely legal to ship ammo to, the onus of being legal is on the reciever of the ammo. The reason that MA and CA cannot act against anyone outside the state is the commerce clause in the constitution. States cannot restrict interstate commerce. However many commercial sellers of ammo will not ship to MA or CA just because they do not want any possibility of a hassel, or many do not do so as a statement against those states' unreasonable gun laws for residents.
The idea of the local UPS store or FEDEX store not knowing what they are doing is absolutely correct, and the hub centers sometimes are not on the ball either. They will sometimes try to tell you that they must ship ammo a more expensive way, but they are wrong, you are entitled to ship ammo the cheapest way and just pay by weight. Sometimes you have to get to a supervisor to get it done right.