Why do fast objects cause more damage?
Well, if you threw a brick at the window, I don't think the glass breaks because the brick gets hot (which it doesn't).
What is happening is that materials can absorb a finite amount of energy before losing cohesion. Glass can absorb a relatively low amount of energy. Steel, on the other hand, can absorb a relatively large amount of energy, per unit mass. If you throw a brick at a steel beam, the brick is likely to break instead of the steel.