This is true of nearly any country which had a real, actual, land war on its soil. Which is most of European countries, and especially the former USSR and today's Russia. As kids in Russia we burnt TNT for fun (or whatever the waxy thing was that's found inside artillery shells) and threw WW2 rifle rounds into bonfires. Only much later did I find out that TNT fumes are toxic.
TNT is indeed a very safe explosive. And yes, it burns ~like wax, but lots more sooty. Basically, detonation requires high-velocity shock. More even than blasting caps. You need a secondary explosive. Which, anyway, is why it's good for artillery shells.
Belated footnote: When the military run low on TNT and other "safe" explosives, sometimes they switch to stuff that's far more shock-sensitive, ages faster, and becomes very hazardous over time. So one key thing is knowing which types of munitions are ~safe to play with, and which are deadly.
Also, TNT releases NO2 when it burns (or detonates). Plus a bunch of ~toxic and ~mutagenic aromatic hydrocarbons, which end up absorbed on the soot. Some of which is respirable.
When I was a kid we used to pick up 50 Cal tracer ammo in the desert by the snake river. The story was that during training planes would pull most of their tracers out of ammo belts and dump them in the desert so they wouldn't have to put out wildfires later. 1970's
20mm was a pretty popular caliber for AA guns, and you can often find them in the ground around the cities and military bases in Europe that have been heavily bombarded in WWII. In Europe it's a lot of fun to play with metal detectors since there's a lot of stuff in the ground around old cities, from ancient coins to more modern things like WWI and WWII bullets, broken bayonet blades, helmets, and all kinds of old metal junk.