Sim rounds will penetrate the skin. Not deeply and not lethal, but it is a bit worse than "not that bad."
I just saw a video on a sim round lodged under the skin of a guy's forehead. Looked a little painful to me.
I'm not saying it can't happen, but I've been hit a lot on exposed skin - head, forehead, hands, fingers, arms - even from within safe standoff distance, and countless times with various protection combinations ranging from just a t-shirt to kevlar vest and Carhartt coat. I've seen guys wearing only eyepro hit in the nose (not my fault!), cheek, neck, and chin (those last three were my fault). Never seen anything worse than a bleeding welt.
The only scenario I can think of that could result in penetration of a sim round into skin would be a contact or near contact shot to just the wrong spot.
I've never used the non-marking FX rounds but have heard they hit a bit harder than the marking rounds. Maybe those are different. Or maybe the UTM stuff is more powerful - haven't tried those either.