Well, if it's anything like the game, yeah, he's pretty resistant to bullets.
Sometimes when you're driving down a road, a bug hits your windshield. It's ugly and unpleasant, but you just activate the wipers / cleaning fluid and it's gone in a few seconds. It's just part of driving down the road. You don't dwell on it, because that'd be silly. Bugs aren't worth the time.
For the sake of game-balance (haha what am I talking about), I would say that Dad will take damage from sustained gunfire from rifles or pistols or anything larger than a rifle bullet.
I got like "wtf" while imagening the scene of how Renamon was going to fight DAD, but suddenly the smily guy just waves his hand at her and jumps into the sewer leaving a both shocked and confused fox. [Attachment]
Have you ever crossed the line between sanity and madness? You would be amazed by what lies beyond the fog..