IMO a lot of it has to do with the individual animal. Some spook and dissapear, some jump and come back, some just look around, some never stop feeding. At least this is what I've seen happen.
One of the noisiest bows I ever shot didn't bother a deer I shot at and it was less than 10 yds. from my tree. I shot twice, it looked around a little at the first shot, acted like it didn't notice the second. It was the first deer I ever shot at with a bow. The bow was an old compound.
I have to say that was the only time I've ever seen that little reaction, but I have heard lots of similar stories.