I'm already used to the fact that you lose ammo when you die or when you are switching weapons in the same slot (e.g. from a machine gun to a rocket launcher) which can end up in having no ammo at all but for which I can't find any reasonable explanation. You should keep full ammo when switching weapons no matter how often.
BUT:
While I was playing the mission "The Dark Beyond" I noticed that I lost ammo during the cut scene following the inspection of the dead guardian. I was having 95 rounds (in total) for my machine gun before the cut scene but I was having only 64 rounds after the cut scene ended.
Losing ammo without doing anything but watching a cut scene (which we are still not able to interrupt even though we have seen all of them a dozen times...)? Are you serious Bungie?
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This is a bug. It happens with most cutscenes. The game subtracts ammo as if you had died. I'm bumping this thread in the hopes that Bungie eventually notices.
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Do you have armor with "plus heavy ammo capacity" equipped? I'm guessing losing ammo during cut scenes is the same as losing some when you die, at least as far as he game coding goes. I've seen the same thing, btw, but I usually use the VoG boots.