The system works as it should.
If you are capable of using a weapon you should be able to pick up any you find!
I feel this, BUT: I would like too see more "wastage" of arrows, throwing weapons, bolts...
Now, if a projectile hits a shield, a person, a horse, or any breakable object, it is lost forever. Also, I believe this is a bug, some arrows I fire sometimes seems to "Jump to hyperspace", go ultraloooooooong and thin and then vanish, pop. This may well be a bug, or maybe I fire them just TOO damn fast.
But other than these arrows, and those projectiles that get stuck in something, ALL others can be retrieved. While I LIKE being being able to retrieve ammo, and I think it should stay as a feature, I would like to see more things be "spent", arrows hit walls, sometimes they stick, sometimes they break, same with axes, throw it into something and maybe, UNLUCKY, it gets broken, blunted or twisted when it hits a rock, a tree....
Not many, but more than now, lost forever. A good thing in my view.