Well, I seem to recall that he's been hurt more than once but I can't name specifically.
Still, I can suspend my disbelief because of the reasons I gave before. He doesn't tend to confront enemies armed with guns directly in the open. He's elusive. He sticks to the shadows. The bad guys also tend to be scared of him, making them hesitate or take aim in haste. It may be improbable but at least it's possible. I my suspension of disbelief can do possible.
Now take something like G.I. Joe. They don't hide. They don't fight at night usually. They don't use fear as a weapon against their enemies. They are supposed to be elite (trained) soldiers. Both sides shoot a lot of rounds (or laserblasts, what-ever) yet nobody ever seems to get hit. Unlike with Batman, I can't think of any possible reason why somebody isn't shot, other than censorship, which ruins my suspension of disbelief.
That's a good explanation. I don't watch a lot of Turtles stuff but I could except that. At least some pets learn behaviors of their owners, even when they are not taught. For example, dogs often learn that when their master picks up his keys, he's probably going out. Maybe Splinter's master always fed him right after he worked out, which caused the rat to pay close attention whenever he did so.
If the rat version of Splinter saw all that martial arts training repeatedly, it would be in his long-term memory, also. Once his brain was enhanced through mutation, perhaps he was able to recall everything that he previously saw and apply it..