do you have decals (i think this is what its called) turned on in the options? it might even be texture detail. if you dont have everything maxed out try that.
also, i remember microsoft banging on about "xbox only content" a while ago but i dont think this is the case here
I've tried all the options and no luck.
To be entirely honest the bullet holes ONLY appear when a shade is provided on the car e.g. I go under a bridge.