It's a hard call. Ultimately, I like it when games are as natural as possible within the given situation. Unless you provide an important gameplay reason for something being unnatural, I prefer that things you would naturally assume would happen, happen. And I'm not talking about being "realistic". Just that, when I look at something or interact with something, it should react in a way that makes sense. I naturally assume that when I jump gravity brings me down. I naturally assume that bodies are solid, and therefore my shots cannot pass through them. You know? It removes extra layers of unnecessary abstraction.
But of course, if valid reasons are given it can go the other way. I can't think of any good reasons to have shots pass through teammates other than "it would be kinda helpful sometimes", and I don't know if that's good enough.
Would be cool if shooting them healed them or refilled their ink like someone else said though. Would be natural, given the way ink works in the game.