Why isn't Chloe Decker on season 1 finale shocked/surprised with Lucifer being healthy after being shot? She is like nothing weird happened when she saw him being shot. She didn't even ask him how it is possible, she just accepts the fact 'I died, but I'm ok'. Meanwhile the whole season she doesn't believe he is immortal. So what's up here?
Your premise is wrong, almost immediately after she wakes they have the following conversation:
Chloe: He was firing at you, why aren't you ... more dead?
Lucifer: You're having a very hard time with the immortal, aren't you?
So while she indeed drops it quite quickly, she at least is surprised.
Chloe is a woman of feelings, not beliefs. She needs to see that more than one time, she doesn't believe he's immortal just because he said.