The government does not collect any of the HazMat fee. Your carrier collects it and keeps it. They charge HazMat fees due to the added cost of shipping hazardous material. Normally it involves employee training, employee certification, heavier boxes and lots of fancy stickers with fancy labels.
HazMat fees are not required, your carrier decides weather to collect them or not.
Your dealer probably pays HazMat Fees to his supplier, there again its possible that they do not.
FedEx and UPS usually demand HazMat fees, I don't believe USPS will allow you to ship any thing that requires HazMat.
USPS doesn't even allow ammunition, let alone explosives. DOT classifies Smokeless Powder and Primers as explosives. and they do not qualify for the ORM-D exemption. However the finished cartridges do.
Go figure.