The Rocinante is a nimble corvette, not a heavily armoured battleship. :)
The warship that carries Gunny and her Marines gets attacked by kinetic projectiles on Ganymede and someone is similarly killed by projectiles punching through it.
My impression is that they may have anti-spalling measures, but close combat in The Expanse means spraying the enemy ship with your PDCs until something breaks down and the defenses get overrun. I get that impression from the (very cool) fight with the stealth ship protecting the station with the Protogen scientists. They rake the enemy ship with bullets until it simply stops working and drifts away, its crew dead.
The Donnager was hit many times by railguns, so far we haven't seen any energy weapons except for the communication laser on what is now known as Medina Station.
For the larger ships, I think it's one of those trade-offs of weight vs drive power. There's probably no thickness of rock or steel that would stop a railgun round that could also exist on a ship light enough to move in combat. I'm not well-versed in weapon and armour theory, but I think it's not possible to make armour that can withstand any gun or weapon.
(And that stealth ship fight was so badass, desperately hiding from the advanced ship twice your size until you can land a killing blow.)
The Expanse's ship combat is very cool. A worthy successor to the re-imagined Battlestar Galactica (minus the mumbo jumbo that marred the end of that series!).
I like the characters too. I haven't read the books, and I understand this character was changed a lot, but I really like what they did with Klaes Ashford in the series. Way to subvert expectations! The TV show more than once appears to set up a cliché (this is the bad guy, he has delusions of power and is going to undermine this other character) only to subvert it. More of that, please!
