I don't think Asuras was trying to say they should be affected by mundane weapons, just asking why/how that works.

It's a reasonable question, and one that it wouldn't hurt to get answered/clarified if we're going to be playing dolls. Are they simply less affected by mundane things - ie, do bullets and blades bounce off them without imparting any force? Or are they like vampires in some settings, with insane healing rates? 

From my interpretation it's the former, like they're not entirely subject to mundane physics.

Speaking of questions regarding Dolls, I have one myself: Do they retain memories of their lives before they became dolls? Did they even have lives at all before being dolls, or did they just sort of spring into being like that?