With Kaido, I've always assumed the reason he's incredibly durable and tough even in his base mode is because he possesses a mythical zoan. I believe mythical zoans have some passive power that works even in base mode. Similar to how Marco heals even in his base mode.
After the spoiler was released I thought King might be using his fire power to caserize his wounds. At the time that made sense to me.
Zoro stated he's cutting King but he's not bleeding. We know that King can bleed. Marco and Zoro both made him bleed, but in those situations it was a surprise attack. That tells us it's a power he must consciously use. It's not a passive power. Now, I'm not too sure if that's what he's doing.
You might be on to something about the wings.
King wings being more durable than dinosaur and dragon's body is possible. He does come from ancient race we don't know much about. Maybe when he transform into his beast or hybrid mode his Lunarian wings turns into his dinosaur wings so that's why they are so durable.
But that still doesn't explain why Zoro didn't cut King's head when they clashed. Or at least while his head wasn't bleeding.
Unless the power from Zoro's attack weaken to the point it only had enough power left to cut through King's mask.
Regardless what's going on I think it's clear Oda is making King out to be harder to hurt or damage than Kaido.