A gun with the same stats, but with greater WH will have more "carry" for the larger round.
That makes quite a lot of sense; seeing as a bigger bullet will lose energy less over a distance versus a smaller, but faster round; you can see this in real live in the .45 ACP and the 9mm Parabellum debate.
(WH size also factors in the kill routine, once a penetration has occured)
Also forgot - when the penetration value is exactly equal to the armour value, WH size determines the amount of shots that will actually penetrate. (Not part of the original SSI code which penetrated 100% if the AP value >=the armour value, we added the check for Pen==Armour).
So a WH of 1 or 2 say (e.g autocannon, ATR) whose Pen is exactly equal to the defending armour, will have a moderate chance of being stopped, whereas a tank gun of say WH 7 is rather more likely to manage to push through the defending plate in the equal armour situation.