You shoot a bullet at Superman. You hit, but he took no damage.
If the target's armor/dodge/etc. is high enough to reduce all the damage to zero, it just means they were able to avoid damage from the hit, not avoid the hit. Think of it this way, you were shooting at the target's head. You got a decent roll and the bullet traveled towards the target's head. But they are able to twist and move in reaction to your shot that instead of getting hit somewhere vulnerable, they get hit in the most protected part of their armor. And instead of a straight on shot to the armor (resulting in the stun damage), they are able to position it so that it's a glancing blow to the armor (0 damage).
Is it realistic? No. But then again, as I keep reminding people, this is a cinematic game set in a world of elves and dragons.