It's not uncommon, but can be very grating depending on the circumstances. Dogmeat and the other companions are immortal because Rule of Fun - losing them would suck, which is why it's limited to the more masochistic (not that there's anything wrong with that) difficulty settings. Far Cry games generally try to seem realistic apart from some trademark trippiness, so when you blast someone with a rocket and they just ignore it, it's a bit jarring.
In-universe I think the idea is that you're tripping balls, it's a go-to excuse for "why is this boss fight behaving weird" in the Far Cry series.
Kallioapina