AFAIK, it happens with all shots, but few ships are fast enough(or shots both slow and long range enough) to make it 'easy' to see.
A Champion Frigate(Speed 160, I think?), for example, can pretty much outrun a standard Missile GP missile forever, but as soon as you duck into a wormhole: bam, lower shields/dead shield module(if applicable from damage).
I think I saw another prominent example just yesterday when I accidentally peeked my Mark II Raids into a planet with a wormhole right next to an AI Fortress, then paused and immediately ordered them retreated back; result: one missing Raid, no Reprisal Level 1 warning(which, to me, implies that the Raid was actually considered 'dead' on my side of that wormhole, or at least not on the hostile planet with the Fortress).