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I've only played the PC version so I have no idea if they changed anything for SSHD... The Serious Bomb was introduced in the second encounter. The Grenade Launcher is supposed to be in the beginning of Oasis - Level 5, I think it was in the first building. The only nail like ammo I remember was the rockets to the rocket launcher, you could find those in level 3 and 4 if I remember correct. It should also exist a secret one in the first level.
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Where are you in the story? In the Dunes level picking up one of the serious packs gives you the ammo indicator for the cannonballs even though you can't possibly have that weapon yet, and that could be mistaken for a "smoke grenade". "Nail-like" ammo could be bullets or shells or rockets. In fact, I do not know of any non-secret rocket launcher so it's possible you didn't pick that up and that would lead to confusion if that ammo indicator appeared as well.
Trust me, I know what I mean. Go play the level just before memphis, the level you get the laser rifle from, then one of the ammo packs before you enter the castle or whatever it is, adds some new ammo icons. Hell, all the ammo packs might do it, best level to try would be the Great Pyramid. +There is a non-secret launcher. I'll go picture hunting.
Here: http://uk.gamespot.com/xbox360/action/serioussamthefirstencounterhd/images/0/2/ Yes I know some of the icons are outdated, but I have the 5th, 6th and the last ammo icon, yet no weapons that use it.