It could be something to do with the infection (for lack of a better word). If there are neurotransmitters that remove the infected's ability to feel pain then non-critical shots, perhaps they can keep going? I'm just guessing here. I'll look into this a bit more and post what I find.
As Eviebae pointed out some of them have enhanced abilities (nearly impenetrable skin on the Behemoths, for example) that would make it less likely that a shot to the leg or chest would be able to drop them, too.
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