Yes, they do. Oh, so maybe not straight up, but they do come down and kill. That's a fact.
If you get a chance to watch the episode it was very interesting. If the guns were fired on an angle the bullets reacted differently than if they were fired straight in the air. They tried a large assortment of weapons and wind conditions in their test. Fired straight up all the bullets came down sideways, fired at an angle they were balistic weapons.