To be fair, Hulk on fought Ultron after he had been heavily damaged by Vision, Thor, and Iron Man's synchronized blasts. So him making quick work of a badly damaged opponent already near defeat doesn't really mean much.
And also Thor dodging gunfire while Hulk didn't also doesn't mean one is weaker than the other. One is a just a train warrior who dodges out of instinct and the other was a raging monster with zero training (at the time).
It's also possible that Thor didn't know what sort of effect bullets would have on him. He had never been shot at prior to that and likely exaggerated their effectiveness. I think it's pretty clear that Thor is bullet-proof.