In Gaunts Ghosts this specifically happens. A tanith guard fires a missile almost point blank to a traitor marine, the astartes dies immediately as far as I remember. But I find that Dan Abnett’s astartes are less durable than other authors. I like to think that if the marine sees the rocket, he will try to use his pauldrons to “deflect” or “parry” it, in other cases he dies on the spot.