I recently lost a Nightmare Marksman game because I didn't realize the ammochain that was in my prepared slot was empty and it took me two seconds to reload my Trigun instead of "quickly" reloading. Finishing off an ammo box doesn't happen very often, so unless you're checking your inventory every few seconds, the above scenario could be fairly common and fairly deadly.
My suggestion is to have an eye-catching message appear when an ammo box runs out of ammo. (Perhaps in another colour?) Even something simple like, "Your ammochain is empty!" would be a big help.