I know it may sound silly, but from a directing perspective, showing people missing their shots over & over in a TV show is actually going to take away air time from the show itself. Every second matters in film & especially TV when you have to fit it in a 30 minute, 1 hour, 1.5 hour, etc, etc, time frame.
It will also require extra filming and camera work. Meaning, it uses up time & money just to be more realistic when eventually, they are going to kill the zombie anyway. Showing missed shots will require a few extra camera changes and special FX.
It's just easier to show the kill shot immediately rather than showing, "miss, miss, hit....miss, miss, miss, hit....miss, hit.....miss, miss, miss, hit...".
The marksman thing doesn't bother me. It's really only good to show a missed shot in film when it will build suspense for that scene.