Not really wanting to get in the middle of a personal argument, BUT, just to lay out a few facts. The ability to maintain velocity & to penetrate, other things being equal, is based on a factor known as the Ballistic Coefficient (BC). The BC is derived from a factor known as Sectional Density (SD) times a form factor, thus if we fired two 30 cal bullets of 150 grains weight with one having a flat point & the other a long nose "Spitzer, the pointed one would retain a higher velocity down range & would also give a deeper penetration. Sectional density is derived from the weight vs the cross-sectional area of the bullet/shot.

In the case of shot pellets, all being round, they have the same form factor so that part of the equation can simply be ignored & it falls to Sectional density only. The weight of a sphere/round ball goes up in proportion the cube of its diameter while area goes up in proportion to its square. Thus the sectional density of the same material is proportional to its diameter. Thus a #2 shot @ 0.150" has a 36% higher sectional density than a #6 @ 0.110".

Lead shot has a density of around 11 gram / CC, don't have exact figures here but pure lead is 11.342. Thus the Heavy shot @ 15 density is 15/11 or
36% higher than the lead.

There are of course other factors involved, the larger diameter will disturb more tissue, cause more severe bleeding & unless extremely hard the lead shot is more likely to flatten a bit on impact giving a better energy transfer even though lessening its penetration a bit.

Miller/TN
I Didn't Say Everything I Said, Yogi Berra