That's quite intentional on the part of the manufactuers. The more bullets fragment the more damage they cause. That's why exit wounds are nearly always substantially larger.

I'm pretty sure he was referring to what looked like bb pellets or buckshot colliding with the bullets (hence the impact dent left in the bullet). It was definitely not paint, but since both pellets and buckshot are made from softer metals, the impact with the fully jacketed bullet did make it "splash" and disintegrate as if it were a blob of paint.