Also, the prediction was wrong anyway, and it clearly didn't kill him.
We all know Fry isn't particularly bright, so it probably didn't occur to him that Bender has survived plenty of bullet "wounds".
Well...the prediction showed Bender being hit by a gun, and going down. So, it was quite correct. The mistake was on the oracle's part, interpreting that scene automatically as "dead".
Also, Bender revealed the bulletproof vest in his compartment. Of course it was there for humors sake, but it also showed precautions had to be made to survive a potentially fatal shot;)
(Or, to cut a long story short: Bender will not survive a gun wound, as soon as fatal danger has to be an important plot device ; )