Because conical sounds like comical and people didnt want to scare little babies with scary words so they said they used conical/"comical" bullets to keep everyone thinking that it was just a funny bullet that made you laugh when really it was going to kill you instantly.
Bullets that have conical points have better aerodynamics than round bullets (technically, the round projectiles are called shot, not bullets), therefore they are more able to fly in a straight path and hit their target accurately; they are also better able to penetrate their target. You could never make shot that can pierce armor, it needs a pointy tip.
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