Puffer Mart, Hungriges Schwein, Hicktown, Wood Cabins, and any gas station windows break, they can be broken with a gunshot or a melee weapon.
Other places such as Projex, Slums, Office, and Regals windows are penetrable, they won't break, but the bullets will penetrate through the window.
As for the reason why YOUR bullets don't penetrate PD windows, the window might require a bigger caliber weapon, and not a pistol to penetrate it.