Maryland requires a fired shell casing for new handguns. As a Marylander, I can tell you that this can make buying online VERY inconvenient, and adds yet another thing you've got to ask about. If the gun doesn't come with a shell casing, you've got to have an FFL 07 SOT make one for you (the law specifies "a" manufacturer, not "the" manufacturer) for a fee or hope that the manufacturer of the gun will do it for you gratis if you send it to them.
As to what happens to said casings, as best as we can tell, absolutely nothing. The program was supposedly defunded a few years back, and they're just getting tossed into storage. Certainly, they are not serving any _productive_ purpose, as no crimes have ever been solved with them.