I suppose you are referring to the hassle of being able to order from your keyboard. You are absolutely correct about 9mm. On the other hand, the less popular calibers like .357 SIG, (to pick a random example) are typically quite a good deal on the net.
No, the hassle can be finding it (if you don't know where to look or you normal supplier don't have what you want), using a credit card, checking the charges, tracking the shipment, messing with UPS (or FedEx), etc. It's a whole lot easier just pop down to the local firearms emporium, pick-up what you want, write a check and go shoot. Generally speaking, internet shopping is relatively hassle-free (if you have/use credit cards) but not always--I've have been charged more than I should have been, experienced delays (sometimes quite lengthy) in shipping, had UPS leave not leave the shipment (or leave it at the wrong address), had UPS leave it setting up my front porch in a pouring rain (ever had a 1000 loose rounds in your front yard--that needed mowing
).
The other thing you are forgetting, is that for the most part, you really have to buy in bulk to realize any savings over the internet (even with the hard to find calibres like the 357 SIG)--particularly if you are buying from suppliers that actually have a wide selection of ammo (e. g., Natchez). There's a lot of people who may not want to lay out for 500 rounds of ammunition at one time, or who don't shoot enough to make it worthwhile.
For me, the internet is generally the best source for ammunition (even though it's not as hassle-free as you represented), but I shoot a lot of ammunition, can afford to spend two or three hundred dollars at one shot for ammunition and am not afraid to use my credit card over the internet, but I am probably the exception not rule.
It really boils down to most people really need to shoot a lot more than they do, and it's considerably less expensive and easier to do it with a 9x19 than a 357 SIG. When you couple that with the fact that there is not enough difference in effectiveness between the 9x19 and 357 SIG to make a difference, the 9x19 just makes better sense (unless you're a hobbyist or just like loud noise
).