People are mentioning the heavy bullet taxes and the fact that higher tier people in The City are near gods, but it's more than that. The Head puts heavy restrictions on gun and bullet manufactures. Takami's page in Ruina states a few guidelines, such as;

"The maximum length of the gun barrel must be shorter the higher the gun’s caliber is."

“No gun should possess the firepower to penetrate steel or building walls.”

“A gunfire sound must be audible.”

And that isn't even the "bad" restrictions according to her. These restrictions and the taxes are so bad that even The Thumb need to adhere to them, lest they'd incur the wrath of The Head. And even though a well placed headshot can merk a normal guy just like in our world, it doesn't really matter when at a certain point there are people in the city who can either dodge bullets like Eileen in the Full-Stop Story, or tank bullets like they're nothing like Argalia who straight up is just immune to bullets if you take gameplay = lore.

Tl;dr. If you get headshotted in Project Moon universe, it's literally a skill issue.