Sure but why is that an exception? Why are we ok with magic saying "ok, so your arrow deals bonus lightning damage, and even if it misses, it can still deal that damage", but "oh man, you can shoot an arrow that still does some damage if you miss" is rediculous?
Heck, why can't you have, I don't know, a non-magical fire arrow that can do the same thing? After all, a miss doesn't mean you aren't struck at all, it just means your various protections defended you. So you could totally have a fire arrow stick in your cloak and now your cloak is on fire!