I tried to explain to a friend that enemies would be invincible in GTA4 until a certain point. Playing it again recently it's so easy to see. Any mission that had a cutscene between chases, and fights would have the characters and cars invincible. They should have just made them unreachable until their cutscenes. It's a waste of bullets this way, also because they need you in certain cars, and can't have you improvising to mess up their cinematic chase/events they take a lot from what made GTA missions fun.
I think I lit that first choice kill guy up so many times with the handgun as I chased him before he begged for his life on the edge of the roof.