Jim,
I've "heard" the same. Many time over to tell you the truth. However, the legal research on this subject that I have seen first hand suggests this is more urban legend, than anything else.
I am not advocating that anyone not carry factory loads. If that's what they are more comfortable with, then by all means: use factory ammunition. Nor am I advocating that anyone carry reloads. I happen to train exclusively with my reloads, therefore, when CCW becomes legal here in OH, I will probably use my reloads.
--
Mike
(edited for spelling)