Yeah I have been busted once or twice while on random rampages. You get to keep your weapons, but they take ALL your ammo. I did see a notification saying your ammo/vehicles are kept at a police compound somewhere - not sure how you get them back though (?). When on my random rampages I never save afterwards as I loose a LOT of money in hospital fees
I also completed story mode Saturday evening. Also one of the few games I have completed fully. Mainly as I found the story mode missions easier than previous games. Yeah I died more than my fair share of times, however it was mostly just long gun fights so you will get through them soon enough. Just need to work my way through the side missions and para jumps now.