Vulcanian explosions do not only produce fine ash, but they can also send larger blocks of pumice and dome rocks flying short distances. This was a particular concern on the small island of Montserrat, as told by this resident.
Ballistics can indeed cause immense damage. The below photos show the impact of a ballistic on the Long Ground health clinic.
Ballistics are not only fast and heavy, they are also very hot and can cause fires. The photo below shows the Long Ground Methodist Church, which likely burned down due to a ballistic from the volcano.