The round discussed was 9mm Luger, which has no problem penetrating bone.
22 LR is no slouch either. The Alaska state record brown bear was killed by a 22 round through the skull.
You're confusing those cartridges when fired from a rifle length barrel vs. a handgun length barrel. A 1.5 inch barrel on some pocket carried revolver is not going to send 22 LR at anywhere near the speed of a 16 inch barrel