Well, sort of like how having a doughnut shoved into your mouth could kill you, consuming things is a deliberate process. Simply having things go into him does not count as consuming. Which means that yes, you could still stab him, bash him, slash him, and kill him, though it would take a bit more effort than with others thanks to his physiology, but that does not make him immune to such things as pain or getting perforated by bullets. If rocks fall on him he's likely dead, though if he survives somehow he can easily escape. Things that he can't eat typically don't have much of a form to grasp, such as fire or electricity. While not necessarily a weakness (He's not more weak against them than any other demon), he has no real means to protect himself from such things. Magic in general is something that he doesn't have much defense against aside from not getting hit by magic.

If it's a physical thing, typically a liquid or a solid, Damon can consume it as long as it's not entering his body with hostile intent. He can't do much against Gases or Plasma. Magical things maybe, on a case-by-case basis. Eating a flaming sword is going to hurt if the flames are a constant feature. If it's a flame that you can control however, he could eat it. He'd suffer if he got caught in a poison cloud, but he could consume and create a poison cloud bomb as long as he gets to it in it's unexploded state first. I should also mention that Damon doesn't "Breath" so he can typically survive oxygen-less environments with no real issue, like underwater. However he'll still be affected by poisonous things unless he builds up an immunity, which involves being exposed to said poison anyways.