Kinetic energy = (mass * velocity²)/2. It's not as important as velocity, but yeah it's important. The real key is that it is soft. Meaning it will deform more readily when it impacts a target. When it deforms it spreads out, creates a larger wound channel, and more effectively dumps its energy into the object it hit target than just cleanly passing through.

That said, these days there is a big push to move to all copper bullets for hunting. They're more expensive, they don't deform quite as well, but they do consistently pedal now, they don't shed mass, and they're basically inert to our bodies. I practice with cheaper lead core bullets, but I have the more expensive copper stuff to hunt with.