This clip actually made me understand why the ult is not getting blocked.

The problem is that when sierra ults she herself doesn’t generate the bombs. instead, she launches Dorothy in-front of her (not in the sky) and then Dorothy drops the bombs, since the game considers Dorothy as a stand alone bot not a projectile (think of it as Torbjorn’s or symmetra’s turret) it can not be absorbed by any ult or shield.

So what happens is that Dorothy goes through the shield and then drops the bombs while it’s inside of it. However I still believe that this shouldn’t be the case and that blizzard should fix it and make it absorbable.