Only when dealing with body armor. It's the reason the 45 ACP and the 12 gauge slug are still powerhouses even at relatively slow velocities, when compared to modern high velocity rounds. When body armor is taken out of the equation these rounds do as much of not more than their high velocity counterparts. You can compensate for some loss of mass with velocity but not all of it.

It's similar the the differences between horsepower and torque. To paraphrase a popular meme, Horsepower is how fast you hit the wall, torque is how much of the wall you take with you.