The bug
Some entities don't show fire particles when they burning, they do get damage and die.
Affected entities (may be incomplete)
Cats
Cave Spiders
Chickens
Cows
Donkeys
Drowned
Ocelots
Horses
Husks
Llamas
Mooshrooms
Mules
Pandas
Parrots
Pigs
Polar bears
Pufferfishs
Rabbits
Sheeps
Skeleton Horses
Turtles
Villagers
Wolfs
Zombies
Zombie Horses
Zombie Villagers
Please remove the "(may be incomplete") I tested with all entities and some entities are display the fire particles.