HEAT rounds and Sabot rounds just aren't useful against civilians or soft targets. They're a weapon for dislodging highly armored enemies: like bunkers, tanks and the like.
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The weapons that are useful against soft targets are pistols, machine guns, rifles, and the like. And they're already being used in crimes and other such situations.
There's no point shooting 120mm tank sabot rounds at people, because a 9mm pistol will effectively kill at much cheaper prices. There's pretty much nothing to fear from the more sophisticated weapons. A singular 120mm tank round weighs nearly 40 lbs.
In contrast, you can carry something like 1000+ rounds of 9mm ammunition in the same 40lbs weight. The weapons used on the battlefield (ex: missiles, HEAT rounds, rockets, etc. etc.) simply aren't useful in soft / civilian settings.