score:12
Growing up I heard it was so if need be you could swing them as a weapon at the end of the belt.
The idea that this was done deliberately, by the manufacturer, so the buckle could be used as an improvised weapon seems a bit absurd once you look into it.
Since the belt went outside a soldier's jacket, I guess the idea is they'll ride around swinging it like flail? But as you can see, that belt is holding on a bunch of other stuff, like your cartridge case and maybe a sword, knife, and pistol. Do you take all that stuff off, first? If you have a sword, knife, and pistol on your belt, why are you messing around swinging your belt buckle?
In addition to their carbine (which typically didn't have a bayonet), US Cavalry were issued a pistol and saber. If, somehow, they lost all that their 500 kg horse is an effective weapon; it can knock over and trample people. US infantry would have their bayonet, the butt of their rifle, probably another knife, possibly a personal pistol, possibly brass (or wood) knuckles.
If you got really desperate, there's any number of other heavy and functional bits of kit you could bludgeon someone with or make into a weapon in your very copious downtime. Pulling from WWI improvised melee weapons we have the trench club and french nail. InRangeTV did a good piece on hand weapons of WWI.
19th century western buckles were not like we see today. C&C Sutlery describes its buckles...
Stamped sheet brass, lead filled with brass "paws" embedded in the lead for attaching to the belt, per the original design.
(Sorry, I can't find a legally reusable image, go to their site)
Stamping the buckle out of a brass plate was simpler and cheaper than casting. But what about the "paws" that stick out the back? You could weld them, with lead, and plenty did. But mid-19th century welding wasn't very good. If you wanted a stronger buckle, fill it with lead.
I emailed C&C Sutlery for a definitive answer and they confirmed this.
They cast the front plate out of the belt buckles of brass. The buckles have a little piece of brass with 2 prongs and a hook that they would set on the inside of the plate and pour lead over the top of it to hold it in place. That is why they are lead filled.