Balloons you are used to tend to be over pressured so burst when a small tear happens (pin prick). Balloons designed to operate at altitudes like that are at an equal pressure with the air around them, so bullets pass through, making small holes that slowly replace the helium with air thus making them heavy and slowly falling.

The missile warhead generates a big pressure and heat wave that disrupts the balloon tearing it apart. Officially they were worried about damage on the ground, in reality they wanted it to land in water and at a spot they could get to quickly so they could recover it.