> One inherent limitation of firearms is that all the energy is released inside the weapon, which has, then, to dissipate the heat and remaining gases and particles. If bullets are self-propelled, a larger part of that output can be released outside the weapon, allowing it to be faster and impart more energy on impact.

If bullets are self-propelled, they are slower and less stable in the initial portion of their flight, which makes them much less accurate and gives longer time of flight assuming same top speed (which, for a similar quantity of propellant, isn't reasonable anyway; having a gun barrel is an advantage here), rocket and rocket-assisted projectiles work well enough when you can afford less inherent ballistic accuracy because of large targets or self-guidance, but neither of those is really practical for infantry smallarms.