They tested a couple different firearms, and basically could not find the impact in the ground from larger calibers (because high altitude wind took it away) and so just dropped some bullets from a low altitude balloon and assumed terminal velocity was the only thing in play, and openly admitted this limitation.
They occasionally joked that "the only difference between playing around and science is writing it down" on the show but openly talked in interviews about how mythbusters SHOULD NOT BE TREATED AS SCIENCE and should instead drive interest in science
Terminal velocity of a falling 9 mm bullet is 219 fps, .223 bullet falls at 244 fps. [1]
To perforate the skin and enter the underlying subcutaneous tissue and muscle, a minimum velocity in the order of 230 fps is necessary. [2]
So the bullet falling at terminal velocity has barely enough velocity to break the skin, and is therefore very unlikely to be fatal.
[1] https://forensicmcq.com/terminal-velocity-of-falling-bullets... [2] https://pubmed.ncbi.nlm.nih.gov/7304523/