Why would he retain it? Well, because ammo is expensive and why would you dispose of it if you or someone in the family owned a gun that it goes with. Plenty of people that own guns that occasionally go target shooting don't just get rid of their ammo. I haven't shot my gun in probably almost 2 years but I sure still have ammo for it. And no, my ammo has no special meaning to it other than I paid for it. It's expensive, and it's mine.
Besides the breakin, Wes seems not to have weighed the price of breaking the law again, not enough to refrain from keeping the ammo, even though he had done time for previous crimes.
So, it stands to reason that the value of keeping the ammo out weighed his good judgement. His reasons appear to go way beyond the material cost of the ammo into a special meaning, whether for intimidation and control purposes or because he was a keeper of things. He also seems not to have placed any value on the evidence they found, not enough to notify LE, not enough to not handle it themselves, and thus breaking the chain of evidence.