In the final episode, he notices the blood and this seems to be the first time he knows he has been hit.
Is there a way a huge round like that could hit a person anywhere without them feeling some sort of major impact? I guess the idea is that bullet went through soft tissue and did not hit bone. Wherever it hit it would cause major damage as it did, but I think it is impossible, even in the heat of a very heated moment, not to have felt something.