Not all bullet wounds to the head result in the termination of a zombie. Even a headshot to a human isn't necessarily fatal. In World War Z, Max Brooks describes the first military effort to contain the undead in New York City, at the battle of Yonkers. In one particular case, a soldier, aware of the lethal head shot hit the target but didn't manage to drop the zombie.
To boost the lethality of headshots, The US developed the NATO 5.56 PIE cartridge, also known as the Cherry PIE round. This round ignited and combusted shortly after firing, and helped turn the tide against the Zombies at the Battle of Hope, and the continuing march to Hero City.