Not half a bad question. Now that I come to think of it, I had been subliminally aware of the problem, but without thinking clearly about it. I certainly did not know the answer, so the following should be read with reserve; it amounts to thumbsucks and handwaving.
I suspect what it comes down to is that the rubefacient material does not immediately affect the heat-sensing nerve endings, but instead stimulates other cells in the skin to release substances that do so, probably proteins or short chain peptides. The degree to which the particular skin tissue would respond would vary with the particular part of the body.There could be two reasons for such variation, possibly both applying simultaneously. The skin of our palms and soles has specialised and demanding functions, both sensory and resistant to external injury. It simply might not have accommodation for cells that react to rubefacients, or we equally simply could not afford such casual reaction to noxious substances in those areas of skin.
Furthermore, those skin areas are very tightly structured and contoured by dense connective tissue. They have to be to function as required, both for gripping and for resistance to abrasion and similar insult. This reduces their tendency to swell when inflamed. (It also makes it particularly uncomfortable when they do in fact swell.)
Other areas of skin to become inflamed when affected by nettles, superficial infections and minor wounds, and nature's rubefacients, such as poison ivy. It is not that your fingers are immune, but probably that there are less sensitive because they lack the go-between generators of inflammatory compounds that are plentiful in the rest of your body.
Oh, and by the way, your fingers and palms are not truly immune to harmful substances such as rubefacients; just not very sensitive. Be cautious in using and handling such things. If you overdo it you might find yourself very painfully and very inconveniently shedding hardened skin that you neither wanted to harden nor shed.
Trust one who has tried!
That's my guess anyway.
Any ideas anyone?
Jon