This isn't common in all shooter games, but some do go to this level of detail. In Splinter Cell games, for instance, AI can detect Sam's individual body parts.
When an AI is performing a detection check, we fire rays to selected bone positions in Sam's animated skeleton, and tally up how much of him is visible. (We also evaluate lighting per bone, so they only detect you if they can see enough of you in the light)
You don't need a collider on each bone to do this; you just need to do a raycast with a fixed length, or a point-to-point linecast. If you get no hits, that means no other object intercepts the line of sight, and the destination point is visible.
Doing it this way lets you control the sensitivity, by choosing which bones to test, and setting a threshold for how many exposed bones are needed to count as visible/shootable. Maybe having your whole hand exposed up to the wrist, or whole arm out to the elbow should be a liability, but having just a finger exposed doesn't count. (This also lets you manage the cost of doing these checks, by setting an upper cap on how many rays to fire)
Keep in mind that players' controls might be precise enough to keep their arms and legs tucked in if they're careful, but they probably don't have the fidelity to control placement of their toes and fingers, which are driven by animation. Nor does the typical gameplay view help them notice when those little bits might be sticking out. So penalizing the player for too small a misalignment might not make your game feel more realistic, but instead make it feel like the game is cheating and letting AI shoot through walls.