(I can confirm this that thorns only damages most mobs at random, so this should be marked as WAI)

As you may know, Thorns enchanted on Armor is suppose to damage anyone who dares attacking you with it on you. This is not the case with Vindicators with banners (Vindicator Captains) as it is immune to your spiky armor. AKA, Vindicator Captains doesn't take damage from Thorns armor.

To Reproduce:

1. Enchant any piece of armor with Thorns (put it on afterwards)
2. Summon a Vindicator Captain using the following command:  /Summon vindicator ~~~ minecraft:spawn_as_illager_captain
3. Go in survival mode (if your in creative)
4. Punch the Vindicator Captain (if it doesn't attack you right away)
5. Notice the Damage Sound from the Vindicator Captain

Observed Result: The Vindicator Captain doesn't take damage, nor makes the damage sound.

Expected Result: The Vindicator Captain takes damage like any other mob.

This only effects the Vindicator Captain, the normal Vindicator takes damage just fine, with no problem.