Let's examine this in a clear light. I'll exclude muzzle loaders and handguns here because the parameters are so different, and stick strictly with rifles appropriate for the game being hunted.
Let's say the animal being hunted is 18" thick - a big, beefy mule deer for example.
There are two animals of the same size standing side by side and both you and your partner shoot one at the same time, in the same spot on the body with identical .30 caliber rifles but using very different loads.
One bullet penetrates 12" and stops, while the other goes all the way through. Both bullets have expanded a similar amount so the penetration is due strictly to the kinetic energy (weight and velocity) rather than due to something like a full metal jacket round "zipping" though the animal.
Two points here - it takes the same amount of energy to penetrate that first 12" of meat and bone for either round, so the second round (the round that exited) transferred 1/3 MORE energy than the first round which "expended all of it's energy within the animal" - since it went through an additional 6" of resistance.
The second point has to be drawn from the conclusions of the first point. Since both rifles are the same caliber, you in effect must DOWNLOAD a round with either less weight or less velocity (or both), to NOT go all the way through since any centerfire rifle round appropriate for a particular game animal is capable of both good expansion and complete penetration.
In the real world this probably doesn't matter very often since both rounds penetrated the vital organs of the animal. But the argument of "complete energy transfer' is a hollow one since such loads have to carry less energy in order to fail to penetrate as far.
In my view, the round that exits transfers both MORE energy AND gives you an edge - that exit wound blood trail if you screw up. And if you shoot enough animals you WILL screw up eventually. Even well-shot animals will often go a surprising distance and lay down in the brush. You can either say "No blood trail, I must have missed" or "Look at this trail of bright orange lung blood, let's follow it", depending on the load you use.