Your engine has a very thick chunk of steel to protect it from impacts, and is much sturdier than the exhaust.
Except for that one hunk of metal that holds the oil in place. I like to call it the oil pan. It tends to hang down and can be damaged when hitting a snow bank or accumulated snow build-up as you drive. The cars with cast aluminum pans are the most vulnerable, since the aluminum tends to crack or break when struck hard. Many cars include a plastic diverter that acts as a skid-plate to help prevent damage, but these tend to come apart as the car ages (I’ve seen many older cars missing this), and some don’t extend far enough to work this way.
There are also various brake lines and fuel lines that may or may not have an ‘armor’ cover over them to help protect them from snow/ice impacts.