I agree. Thick atmosphere should attenuate beams, slow down and eventually fizzle out cannon fire, and burn up fast moving rockets, at least from small craft.
In real life, it would require exorbitantly huge space weapons systems or very massive projectiles to visit destruction on a planetary surface. Look at earth. Large meteors burn up impressively in the atmosphere, and even large asteroids only dent the crust and stir up tremendous dust clouds.
Starmade isn't real life, it's a sandbox game that emulates science fiction. So, I would expect it would sacrifice realism for enjoyable gameplay. I think it would be nice if it took weapons of a certain minimum size to reliably pierce the atmosphere and damage the planet. Weapons in the atmosphere might even do full damage to the planet with no attenuation. That wouldn't be realistic, but could introduce a fun trade-off. Small ships could enter the atmosphere and attack up close, but with damage capped by their size. Large ships likely couldn't maneuver in atmosphere, but would have some amount of stand-off damage they could apply to the planet if need be.
Planets with no atmosphere could be attacked with impunity from space. There IS a reason planet's with no atmosphere look barren, after all. Craters suit them.