Something like 40,000 people died in London during the Blitz which is a huge tragedy but represents fewer than 1% of the total population of that city. Churchill & other important government figures had substantial air raid shelters while much of the civilian population were doing well if they had a fairly rinky-dink shelter dug in their garden. Given that they were much better protected than the average person, it's not terribly surprising that an event that killed less than 1% of the population didn't kill any of them.

Berlin suffered fewer casualties in the bombings than London did (though out of a smaller population) and Hitler was similarly well protected. Tokyo got it the worst but mostly in the form of incendiary bombs which aren't going to do much against a well designed shelter. The bombing of these three capitals was significant historically but it's not surprising that most (all?) high ranking government officials made it through unscathed.