HEAT rounds should do both jobs well enough. I don't think something that need a SABOT to kill would exist in this time period. And if it's a magical wall or a dragon, it would just make a small hole no matter how far the warhead penetrated.
The Khan didn't get away with it as much as used these tactics in moderation. That said it's important to note as you said, these autocratic means of suppression never end well. They are always short term methods and many intelligent warlords have written on the subject.
I wouldn't call that "just shouting at her like an idiot", from what I see it looks like he want's her to tell how things really were, not just how most ppl will think what happened :V Also, he want's to hear it from HER, he want's her to depend more on him.