So far I haven't had any issues with enemies not dying, although it's possible that there were two enemies in roughly the same spot so when you shot them only one of them died. Then again, there was very little time to test for bugs, so it's entirely possible that you're experiencing a bug that I haven't run across.
In the current build you actually have infinite ammo, but to reload you must stand still and you reload one bullet at a time. Reloading is one thing that we plan on overhauling, since it doesn't feel very good or really accomplish our goals in it's current state.