I think you missed the key dialogue in the previous episode. When Maze threw the knife at Lucifer and he caught it, he said something like:
Demon knives forged in Hell don't count, we all know these draw blood.
In other words, those knives would have hurt Lucifer, if they have hit him. Maze just assumed Lucifer would catch them, because she'd been throwing harmless "normal" knives at him for a while.
If Lucifer hadn't caught Maze's knife and it had hit him somewhere important, it absolutely would have hurt him, possibly badly. And Amenadiel wasn't just stabbed with a knife: it was driven deep into him, then scraped around inside his gut to ensure that it was a mortal wound.