Small Fireballs are not damaging Wither Skeletons, Magma Cubes, Blazes, Ghasts, Withers and Zombie Pigmen.

I think this is intended, since all these mobs originate from the Nether.

Intended with blazes, see MC-70327.

As swekob says, most likely intended. If you look in the code for small fireballs it checks that the mob isn't fireproof before dealing damage. All nether mobs are fireproof and consequently can't be damaged by fireballs.