sometimes it could be frame rate issues due to your computer trying to run bully on high settings.
other times it can be the size of your character like jimmy for example. his default size is "medium" so when using a fighting style like P_Striker_A the second punch in the chain combo usually doesn't hit.
when playing as other characters that are "huge" like Bif the full combo actually hits.
when using the 5 hit combo size shouldn't be the issue. You can be one of the fighting midgets and that combo would still connect.