Surprisingly, BF2 actually models penetrations fairly detailed. Projectiles can be set to
a) (not) penetrate specific materials
b) lose energy (= velocity& dmg) on each penetration
c) have a max no of possible penetrations --> Most (if not all) projectiles will not penetrate more than two walls
d) be randomly diverted from their original flight path from 0-x degrees on penetration
And PR makes good use of that, and most bullet-type-projectiles have this set up pretty plausibly
The bigger issue is that BF2's collision detection sometimes is a bit whacky, adding an additional layer of unwanted randomness to it all ("super penetrations" etc.) . It's also something that cannot be modded, so we just have to "deal with it".
However:
The ability of heavy MGs and autocannons to penetrate thin metal, wood and even thin brick& mortar has been there forever. Even BF2 vanilla used a variety of penetrable materials. Even then it still is just little known

, most just don't expect it from such a "simple arcade FPS" engine.