You're correct, but also completely wrong at the same time. Yes, you can have a lighter bullet that is faster that carries the same kinetic energy. It might even hold its energy longer if it's more aerodynamic. Where you are wrong is the ability to transfer that energy. A full metal jacket would pass clean through the target without transferring most of its energy into the target. A lead bullet that deforms is going to dump a lot more energy into the target. That's why you have hollow points and other bullets that are designed to petal and fragment on impact. For hunting the goal is a bullet that does pass all the way through creating two wounds to bleed out and cutting as large of a wound channel as possible. Which is different than say self defense where you want a bullet that dumps all of its energy as fast as possible so you don't over penetrate and hit your neighbor.

I guess all of that falls in line with the force being concentrated. It just really isn't related to density as much as you're implying. Unless I misunderstood what you're saying.