Hmm, actually, here's another theory. In Changes, Harry says wizard magic is forces/energies built up around a core of will, while the kind of "crushing will" tricks that Odin and the Lords of Outer Knight/Red King use are pure will.
So maybe it's that core of will that makes magic "more fragile" than mundane things. Shoot a magical blast of fire at something that can counter your will with superior power, and the fire kind of disperses. But use a mundane flamethrower, and will isn't relevant.
As Mr. Death pointed out, it's not just an Outsider thing. The Grendelkin in Heorot is described as magic-resistant because of counter-magic (I think the Genoskwa in SG is too), and the Ogre in SK (Lord Talos) was magic-resistant due to wearing enchanted faerie armor. This is magic/will vs. magic/will.
Outsiders may have a second level of immunity to physical stuff since they are not native to Reality, as Eb says Harry as Starborn could even punch an Outsider and it would hurt them... implying a normal person couldn't.
When Luccio and Ebenezer summon tight, extremely hot flames, they are continuing to use magic to confine and direct where it moves. By contrast, Harry pretty much shoots flame like a blowtorch and doesn’t seem to do a lot to shape its area of effect.
I think the difference is a matter of degree, not yes/no. Harry's Fuego spell is using *some* magic to control the fire after it is magically conjured, or it would spread more "randomly" rather than shooting toward his enemy; Luccio's narrow beam is just more narrowly controlled.
If he just conjured fire with no control afterwards, I think it would look more like an explosion / bonfire than a blowtorch/flamethrower jet of flame.