Not a bug. They are a different kind of projectile, not regular bullets. They have a weight to them and are scripted to pierce through anything except terrain.
Rak's Hatchet and DPY alt-fire will also likely go through, but those are both super-short range. Javelin and Schleuder will also go through. All of these guns, when shot at a character, will go through the character, this the Barrier and Shy's shield mechanics will not stop them. Every other shot type, including everything you named, the bullet stops as soon as it hits anything at all.
