option is turned on AT THE MAIN MENU
THEN while you are in the game and pick up more weapons you can hold more of them
i hope this helps.
With the trainer, the feature of No Reload and Mega Ammo definitions are reversed referring to your quote above. I must enable them for each separate weapon. Sometimes I must fire the weapon once before No Reload takes effect or at least shows a higher count in the HUD.
My Unlimited Health and Unlimited Energy work for me as they should. I only have to activate once.