You didn't know this one? Candy can form a perfect edge or point, but has the density of styrofoam. It doesn't matter how sharp it is if it can get blown off course by a monarch butterfly (BUTTERFLY CONSPIRACY). So basically, a candy bolt doesn't have the inertia to penetrate anything when fired, even if it's really damned sharp.
So, if i fire it, it will do nothing, but if i stab someone with it, he will drop dead? Genius, i need Dwarfes stabbing people with cand-bolts!
It makes more sense than you'd think. Stabbing somebody with an object lets you put the force of your own strength behind it; using it as a projectile depends entirely on the projectile's momentum (speed * mass). Since adamantine has very little mass, it has very little momentum; but because it is so rigid, it is excellent for transferring the kinetic energy in a dorf's arm into the body of a hapless goblin. It seems counterintuitive only because of adamantium's extremely odd material properties.
How do goblin snatchers teleport off your map as soon as they snaffle a minor?
Seems you've answered your own question: They teleport. Goblins are, as we all know, secretly a hyperadvanced civilization which invented the art of teleportation long ago. Unfortunately, they can't teleport into the fortress because there's no way of knowing whether they'll end up wedged into a wall or have a random kitten forcibly implanted into their spleens; but once they're in and have their target bagged up, they use their super-advanced psionic implants to call for teleportation back out.
Why do dwarves show no ill effects from working with substances like pitchblende, cinnabar, and lead?