None of the bullets beside the ones that leaves fire patches or does explosive splash damage can damage your own buildings. I don't really know why that is, but I think it has to do with how the projectile that is fired from the weapon is configured.
This is something that I have wanted to change, it is why I made a Homing Bullet, that you can target your own buildings with it and destroy them. But it's a bit quirky for now and I might have to do some changes to it, to make it a more viable ammunition type and not just a quick fix to destroy character buildings.