Can't switch ammo while attacking with a weapon/spell that doesn't use it

It's currently not possible to equip arrows/bolts while mid spell cast or while swinging a melee weapon. You get the "finish your current attack" message instead.

It's also not possible to equip additional ammo of the type already equipped in these circumstances. (Like you have two stacks of iron arrows and you can't merge them mid combat.)

I'm not sure Morrowind.exe ever restricts equipping/unequipping ammo.