Im wondering the same thing, I might be doing something wrong idk

Yeah it seems to be bugged for me as well. It's the only achievement I don't have even though I've no-missed hard mode a couple of times

Maybe the achievement is super strict and means that you can't even get your shield hit at all.

I remember being surprised that I didn't get it either.
Then when searching:
"This achievement is currently impossible to obtain in v1.00a due to a bug that checks the opponent's no-miss status instead of the player's" According to the Touhou wiki.

It's currently impossible to get. It may be fixed in a later official patch?

I did read about the bug on the Wiki, but I want to know if this achievement is for for actually not getting hit or just not losing a life. Let me know when it gets fixed.

hope it gets fixed soon, did the same thing earlier

New patch dropped that should fix the achievement, though I can't confirm yet because it seems Chiyari got nerfed, so I can't simply cheese the playthrough with her anymore.
EDIT: I got it with Reimu on Normal difficulty:
https://gtm.you1.cn/sharedfiles/filedetails/?id=3285036151
https://gtm.you1.cn/sharedfiles/filedetails/?id=3285036270
That also answers my earlier question - I did get hit a couple of times, but I kept all my lives, so as long as you're able to reset your shield, the achievement is quite doable.