I don't know exactly how tikz computes the radii of the rounded corners here, but I guess that the radius you provide, 3pt would be the radius of a single line (my blue line). So the outer line radius need to be 3+3pt=6pt due to the separation and the inner line radius will be 3-3=0pt. If you change your radius for a bigger one the rounder corners are really rounded.
\documentclass[border=2mm]{standalone}
\usepackage{tikz}
\usetikzlibrary{calc}
\begin{document}
\begin{tikzpicture}
\foreach[count=\xi]\i in {6,10,...,22}
{%
\begin{scope}[shift={(5.5*\xi,0)}]
\draw [line width = 2pt, double distance = 6pt,
rounded corners=\i pt, line cap=round] (0,0) -- (3,4) -- (5,0);
\draw [line width = 2pt, blue,
rounded corners=\i pt, line cap=round] (0,0) -- (3,4) -- (5,0);
\end{scope}
}
\end{tikzpicture}
