That's...a really good question, actually. I never even thought about it until just now, and after several minutes of pondering, I can't come up with a good answer.

The best I can do is that, while the Alien 3 Xenomorph did survive getting tons of melted lead dropped on it, it was clearly in great pain, and it's skin was quite brittle, as Ripley used to her advantage. We also know that Xenomorphs are vulnerable to many types of projectiles, such as fire, bullets, shotgun shells, plasma blasts, and even very sharp blades so they are far from invincible in the skin department. Perhaps their exoskeleton is similar to a car's windshield: if a large object hits it, the damage will be spread out, and the window will remain intact. Shoot a windshield with a bullet, however, and it's going to be pierced.