Along the lines of what MathEpic said, I think there has to be some intent to hurt/harm, and as Shadow Dancer pointed out, there may have to be the cognitive aspect to it, or at least behind the object or method of harm. Because when you think about it, any object, gun, bullet, glass, bomb, etc. has no inherent intent or fear for that matter (leaving any realmatic theory possibilities out of it, since we're not in the cosmere), but they've all still been bound by the intent (and fear or lack thereof) of the person using the object and intending to cause harm.
I think it could be seen as "Steelheart is immune to any and all harm" and the only way to penetrate that invincibility is as someone who has no fear. Depending on interpretation, if he was subject to unintentional harm, even from himself, it might be the case that he could be subject to any act of nature (ie. rockslide or something) hurting him, accidentally hurting himself, and things like crossfire, which were ruled out in the last battle (debatable on the last one, because harm was intended, albeit, not directed at SH). The difference between being immune to all harm (except by someone who has no fear of him) or immune to all 'intended' harm (again, except by someone with no fear), if that makes any sense. Nonetheless, I think you do raise a good point, because the only difference (at least that I can see/think of at the moment) is the intent, but even that being said, is the ending the first time he's ever hurt (and consequently killed) himself in the process of attempting to hurt someone else?