Looks like it's related to the collision type on your bullet - I set it from per-pixel to bounding box and it worked as you would expect.
On a related note, you'll need to rethink how your wall collision boxes are setup. As it is now, if you shoot diagonally at a wall between the collision boxes, there's a chance that the bullet will skip right through. I'd suggest either filling these diagonal spots with another collision box to keep shots from coming through, or -- and this is probably preferable -- replace your boxes with isometric ones so you have unbroken surfaces all along the walls.