In the hotel-room shootout, bullets are being fired through the wall easily as you'd expect. Frank then dives through the damaged wall and they shoot at each other with Frank behind a cupboard and Pilgrim behind an internal wall. Bullets hit both of these bits of flimsy cover and leave the men behind them miraculously unscathed.
Even though Amy is standing at the end of the hall when Pilgrim and Frank shoot it out, the bullets which are fired don't through the wall where she's at. The walls in the motel are plaster or gypsum board and would not stop the numbers or types of rounds fired by both men.
The two copper pots hanging on the wall are facing up, which will cause dust to settle in them. They should be facing the wall to prevent it.