Shoot the big red X You cant go wrong with federal. Also I dont know if Hornady makes a shotgun shell, but you cant piss on a turtle without hearing good things about their ammo.
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It's called over expansion. Cheap shells have a tendency to expand too far and lodge themselves in the chamber. Primarily the brass portion, and more common on the high brass shells.
It could also be burrs or other defects in the chamber itself. This would explain why it would happen with better ammo...
Ammo does affect how the gun opperates, even if it's a pump gun...
I love winchester AA's. I've shot and reloaded thousands. They're easy as tits to reload, they crimp well, and never lose their shape no matter how many times you fire and reload them. Just load them however you want...
If you don't reload, or just don't want to (it takes some time and a bit of cash obviously) just buy them in boxes. Not really any more expensive than any other shell, and the functionality/quality is perfect. Can't go wrong.