In the show it seems to go through skulls pretty easily. Probably not that true to real life, but it looks cool! The main thing is that it’s a quiet weapon, and these zombies (Walkers) are attracted to sounds/noise.It seems like a good weapon to have, because guns have limited ammo, and these bolts can be reused. but when I think about shooting a zombie in the head, then going back and retrieving the bolt, without contracting zombie-ness, which is usually portrayed as communicable through fluids, I think I would just leave the bolt where it is and make more.
In an earlier episode it was revealed they all already have the zombie virus, it just kicks in when they die. So, the zombie “ooze” on the arrow wouldn't give you the virus.