If a lance hits a body, a certain amount of joule is being delivered from the lance to the body. If the lance breaks, then (a part of) this energy got delivered to the lance itself, instead of hitting the body.
Just imagine stabbing someone with an icicle. What do you think would have the better effect? The icicle going through and sticking in that body, and that icicle breaking? What do you think would be more likely to have delivered 100% of the energy?
Or to put it another way:
Modern firearm ballistics. There are armour piercing bullet, and ordinary bullets, often hollow jacketed or something similar. Now why would you even produce something else than armour piercing bullets? Because the ordinary bullets have a better wound effect. Both bullets can have the same speed and weight when fired (= trasporting the same energy), but if one bullets deforms on impact and stops in the body, you can be sure 100% of that energy has been delivered. This is the hollow jacketed bullet for example. Now the armour piercing one will most likely punch through the body and fly some distance, which means that after passing the body it has still energy left to fly. Which means it has delivered less energy.
So whenever something is hitting a body, and that thing has energy left to do something else, e.g. flying on (in the case of a bullet) or breaking (in case of a lance) not all of the impact's energy went into the target.