I'm certainly not an expert, but there are some things that are restricted by BATFE, if in fact, the rounds in the San Antonio story were live 40mm grenades, with HE, they would be considered "destructive devices', and would be subject to the provisions of the NFA. They might be transferable, but would be subject to the same sort of regulation as machine guns. Ordinary explosives are regulated differently, and are still under the purview of BATFE. but I do not think that they restrict ordinary ammunition sales. There may be some restrictions on ammunition whose caliber exceeds .50, but I can't remember off the top of my head. There are some rules regarding shipment, but I would not consider these to be restrictions.
As I said, I'm not an expert, perhaps someone can chime in.
In my years in law enforcement, it was my general experience that most of the BATFE agents were not anti gun, but sometimes the upper echelons were. The political appointees are probably selected in accordance with the political views of the President at the time of appointment. The agents are professionals, many of whom joined up because they liked guns, much as some folks become DNR officers because they like to hunt and fish, and be in the outdoors.