No, it does the same amount of damage every time, but a shield, no matter how weak, will always, always absorb a hit, or one more bullet. To put it in terms Dax will appreciate, think of the shields around a ship in Star Trek: even when they're low they will absorb one more photon torpedo (am I saying that right?) before fizzling out completely.* It makes sense fictionally, and it makes for interesting (and more balanced, especially for those of us with higher latency on average) gameplay mechanically.
Of course, a weapon like hammer or rockets punches right through and obliterates everything, but in our fictional comparison they are more akin to a Death Star than a torpedo, if you'll permit my universe-hopping.