I caught that, too. But didn't the Mythbusters take this one on? Yeah, they did... with the bullet in the fuse holder myth... and they found that although some did just burst a couple propelled the bullet with a much lower velocity than normal but fast enough to hurt... so it might be possible.
I guess I missed that episode.
Last year, here in York Country (PA), a man's house in the southern end of the county caught fire, and burned to the ground. He told police and fire personnel that he had over 100,000 round of ammo stored in the basement, with his gun collection. Lots of black powder, too, as he was a reloader. I'm sure that caused some explosions, though. I don't remember any news commentary on the bullets flying around, and although I know the police and fire crews here, where my business is located, I failed to ask that specific question. No one was hurt in the fighting of that fire.
I'll be asking them when I see them, this coming week, what happened.
IIRC their test used .22LR.