Okay, I have run more tests. This time with Kraid.
Here's me shooting through the 1st and 2nd hitboxes.
After that I went around so you could see where the bullets went:
We found out that hits are only registered when shooting the elbow and up (3rd box).
Then we tried guns that you hold with two hands.
When holding the rocket launcher, shots to the left arm's two first boxes will go right through.
The right hand will register shots but it was still possible to shoot through it from some angles.
The Grenade Launcher registers hits better than but the left hand has some issues.
Regular grenades also suffer from the hand/forearm issue.
The only weapons that work perfectly are: Slappers, Knives and Mines.