Anyway i don't like having psicological side effects instead of physical ones when a player loses wounds.
To clarify — I refer to a "psychological" effect meaning when the fire prompts the target to do something by reaction or reflex, that in turn causes a physical injury (e.g. "a bullet striking the pavement makes you to jump aside, but one foot lands askew in a deep pothole, so you fall and twist your ankle"). Thing is: if you say he falls, he falls. GM fiat, and all that.
"Physical" effects are when the rounds themselves cause the damage, albeit indirectly (as in AEB's example of a person pummelled unconscious by chunks of concrete knocked loose by bullets striking the wall behind which he was taking cover).
Good question, indeed ... um ... perhaps a salvo from an HMG is more startling than a shot from a 9mm, so it makes you jerk back more forcibly, so you hit your head harder...?
As for there being nothing between the shooter and the target ... well, nothing but distance, ballistics, and skill. It's perfectly possible to shoot a fair burst of automatic fire at a human-sized target standing clear in the open at 50m and not have a single direct hit. There's actually nothing strange with that — happens all the time. Could even happen at 10m.
Also, BTW — don't forget that you can engage your players to narrate what happens to their characters. "As you try to sidle along the wall, one of the Russians notices you and opens fire with his AK. [roll roll] You take some damage, perhaps from the bullets, but perhaps not ... tell us what happens."