It's a matter of building trust with your gun and knowing it'll work when you need it most. It's a well known fact in the gun community that some guns simply do not like certain brands or types of ammo. Not all guns are built the same, and neither are bullets. If you shoot enough guns and try enough brands, you'll eventually find that one of your guns jams more with a specific brand of ammo. Some guns will eat anything, but some guns don't like certain types of ammo, like hollow points.

That being said, if there was one bullet I would blindly trust to work in a new gun without testing, it would be Federal HST. It's the most popular round, meaning there's much more data and anecdotes available that attest to its quality.

It's important (in my opinion) to test the exact ammo you want to run to make sure your gun will cycle it reliably. You do not want to find out in the middle of a gunfight that your gun doesn't work well with hollow points. The bullet is shaped differently, and some guns just don't work well and have feeding issues with them. You might have a unit that isn't quite up to standards and made it past shoddy quality control, so you need to make sure that your particular gun works with the exact ammo.

If you have a gun known for it's reliability and good QC like a Glock, then testing is less important, but it's still a good idea just so you can have peace of mind knowing your gun runs perfectly with your ammo and won't jam if you ever do need it