The Cannon Turret appears to not be buffed by the Physical Projectile Damage researches. (nor by any other researches)
The tank/cannon bullets do, but the Cannon Turret does not receive any bonus, unlike the Gun Turret, Car, Steam Rifle Turret, Pneumatic Cannon and Tank.

I assume this is a bug.
If not, why is the Cannon Turret excempt from having upgrades?

I thought a lot about it and intentionally omitted it. I think vanilla has gun turret + ammo bonuses to make the player weaker over time. It's a nudge to make the player automate defenses. This mod is aimed at people who really enjoy fighting the biters. We don't need the nudge. If the biters have broken through we want be able to personally turn the tide.

The cannon and missile turrets are already very strong because they use weapons balanced for the player. You can have dozens of turrets covering a front line vs a single player. They also do splash damage. So the +100% tech bonus goes a long way.

The other turrets upgrade with guns for compatibility with other mods. If they add bonuses to guns then they should also improve nail ammo.