As to why they don't, I imagine it has to do with the spirits and the respective ways they visit the material plane.
Materialization basically "creates" a body for the spirit out of Ether and Echtoplasm. It has no organs, or digestive system, nor sensory organs. So, what
really does a bullet or a knife do to them?
Well, the mechanics tell us what happens, that is it, it doesn't
describe what happens: a 0 damage result could be one of several things,
1: the bullets bounce off
2: the bullets just "miss"
3: the bullets rip through the form, but cause the actual entity no harm. (think Zombie, shooting it in the chest... it bouncing back a tiny bit, but doesn't care nor 'feel' the wound)
4: the bullet pass through the target, and the target instantly heals (AKA the Wolverine "healing factor" from comics and movies)
5: Batman shows up, jumps in the way, deflects all the bullets, and jumps back out. (Hey! it COULD happen!!)
The end result is the same, the thing took no damage, but each variation up there has a different dramatic feel to it. Most games don't do into it and just leave it at "you fail to do damage to the spirit" (I personally go with a descriptor, but hey....)
My personal belief is that the round just pass right on through, and without blood, tissues, and Organs, weapons just don't have what it "takes" to actually hurt the spirit...
I mean, I'm pretty much a drunken redneck, and I admit FREELY I have sat around more then my fair share of campfires... with loaded weapons. And I will even admit to firing those weapons, at night, while around a campfire.... drunk. Heck I will even admit to shooting the FIRE. At night. while drunk. with a firearm. And you know what? I really don't think it noticed.
Inhabitation gets you some funky and FUGLY things, but the end result is usually the same.... the spirit warps and takes over the body. (note: Flesh forms, they are the exception) This warping is both of the flesh and the memories of the host (the personality, and core "heself" of the host, are totally gone.) that twists the flesh of the host into a twisted host/spirit trait "thing". Who to say what the actual vital anatomy of this monster actually is/are?
Possession: you have the vessel and the spirit merged into one form. if that form is metahuman, well we know where a metahuman heart is... and the lungs, and all those other sloppy bits.
And when you get right down to it, a gun really is only effective against things with sloppy bits
*Now here is the gaping hole in my theory. A flesh form is an "almost perfect" union... meaning that the anatomy is not that changed so, by my theory, it shouldn't have ITNW, but it does. o.0