Bullets that "expend all of their energy in the animal" do so because they run out of steam before they exit. Bullets that penetrate expend plenty of energy in the animal, they just have enough left over to exit.
Say you have a bullet that hits with 2000 ft/lbs of energy but doesn't penetrate. You would say that it expends all of it's energy in the animal. And you would be right. But, you could also have a bullet that hits with 4000 ft/lbs of energy. Maybe that expends 3000 ft/lbs in the animal and has an extra 1000 to penetrate and leave an exit wound. I would prefer that.