I'm not saying the damage characteristics should be massively different, but a sling bullet, as I imagine it, would be a ball or some other spherical shape, and a crossbow bolt has a pointed end. It's O vs. >, and upon contact, those shapes are going to behave differently. The pointed edge would sink into, or "pierce", flesh because it's thinner, and cause a thin but deep wound, where the rounded edge would be less likely to pierce, and instead radiate that force out from the center of impact, causing a wider and shallower wound more likely to break bones and pulp organs than to neatly sever them. If both hit in the chest, the bolt would chip or break a single rib, while the slingball would more likely cause hairline fractures across multiple ribs and perhaps fibrilate the heart from the radial shockwave. Honestly, I'd rather be hit with the bolt.
Think of it this way - a hollow-point bullet may be more "blunted" than a full metal jacket bullet, but that doesn't change the most significant aspects of how a tiny object moving at extreme speeds will punch its way into flesh, at least until the bullet is lodged in the body.
You're right. At high enough speeds, none of this matters-that bullet is going to go through you no matter what shape it has- but at the speeds achievable by a crossbow or a sling, shape does matter. DF doesn't have guns-the closest is maybe a ballista-and guns have Foot-per-second speeds upwards of 1000. Crossbows, bows, and slings, simply don't travel faster than a few hundred FPS. There's a sliding scale between the velocity of an object and how much its shape matters with regards to striking another object of a given resistance. with speeds this (relatively) slow, shape plays more of a part.
Maybe it will help that the sling bullets I'm thinking of are around an inch in diameter, and that is substantially bigger, diameter-wise, than a crossbow bolt. Yes, that makes the bullets...balls, heavier, and would fly slower than a lighter, faster crossbow bolt, leading to a different kind of damage.
I'm reminded of the physics experiment of a weight with two strings attached to it, and you pulled one to demonstrate the effect of force with regards to speed and time. Pulling quickly snapped the bottom string, the one you were pulling, while pulling slowly let the force travel through the weight to the upper string and snap that one instead. Isn't that basically a different damage characteristic?
You're right in that it all comes down to how the force is applied, which is simple enough, but the results of how that force is applied are quite varied. Different diameters of force cause different kinds of injuries, and that matters.