Former Abrams tanker here. HEAT does not work as HE, at all, because it uses a shaped-charge explosive to push a penetrator into the target. Thus, most of the explosion is focused directly forward - you could argue that in the immediate area of detonation, it would act as a normal frag grenade, as an educated guesstimate, but it is nothing like an actual HE round.

Also, there must be some significant resistance for the plunger/detonator to function - shoot a zombie with a HEAT round, and it will simply go right through, leaving a fine red mist and no zombie behind until it hits something that WILL set the detonator off (such as a car or building).

A "sabot" round is even less effective against zombies: it will punch through every one of them in a bullet-straight line and likely keep going through a building or two, but there is no explosion at all. The coaxial M240, and the cupola-mounted M2 Browning, are your best bets - aside, of course, from just running them over until the street looks like a no-cheese pizza.