It's more HEAT rather than HE. The Hephaestus Assault Gun also mentions "shaped charge shells", which is another term for HEAT ammunition. Also, HE is easier to say (and explain) than HEAT for people who aren't acquainted with the term.
So, if you look at tank armor vs ammunition, HEAT was the first one that started to really defeat armor. The M1 Bazooka, Panzerschreck, Panzerfaust all fired HEAT ammunition vs tanks. It was HEAT ammunition that caused a design shift in some tanks during the Cold War, where armor was almost entirely dispensed with in favor of firepower and maneuverability (see: Leopard 1). Once composite armors became widespread though, HEAT became generally less effective vs. tanks, but not any less devastating towards less well-armored targets.
Also, pretty much every missile fired today intended for anti-tank purposes uses a HEAT warhead. Missiles being missiles, they can be much larger in diameter (means better HEAT capabilities due to how the physics and mechanics work) and need a thinner case (doesn't need to survive the crushing G-force of being fired out of a barrel at the speed or sound or faster), and cannot achieve the velocity as a cannon, hence are much more suited for HEAT than kinetic penetrators.
I suppose it's worth mentioning that torpedoes tend to be nothing but gigantic bundles of high-explosive at the end of a tube containing some of the best guidance software available. No fancy HEAT, just HE. Underwater conditions tend to do that, what with buoyancy and lower velocities meaning you can make ridiculously large weapons. These things are designed to break a ship in twain through sheer force alone. One hole made using a HEAT warhead, however deep or however much damage it created, won't sink a ship. But, blowing a great big hole in the side with the force of 1000 pounds of high-explosive will. The physics wouldn't translate quite as well to space due to the lack of a medium (water vs. a vacuum), but there's no accounting for brute force through bigger torpedoes. As the saying goes, if brute force isn't working, you're not using enough.