In the city of Dale, certain default AI archers cannot be attacked or damaged. The ones I've notices especially are in the southwestern area, near the fountain right by a build plot.
Certain units that do structure damage, like Wildmen of Dunland, can attack the secret door exit of the fortress, but do no damage. Not sure if it's intentional. It might be clearer if, should damage not be done to it, that the attack prompt just be removed and replaced with a "Cancel" icon so it seems less like a bug.