You need events on the bullet movement to turn it away when it hits a wall. The movement itself doesn't automatically avoid overlapping solids.
I'm using the RTS movement for mine. Basically, every 1000 seconds all zombies check for line of sight to the player or any zombie with line of sight to the player, then if they don't have it move to a random spot in an 80x80 square around themselves. If they have line of sight to the player or another aggressive zombie, they will add a waypoint at the player's location.
So they'll chase you around corners and stuff, but if they can't see you they'll keep moving until they have no waypoints left then go back to idling - unless they see you again.