The only damage not reflected is indirect damage that doesn't involve you or your projectiles physically touching them, i.e. the damage over time caused by bleed, the instant death caused by doom and the on-death retaliation of Immoral Fibre's signature ability.
If you ever want to practice against a Dreadlocks-style opponent in a much safer mode than the risky prize fights, try playing Painwheel's daily event on Thursdays (it might have to be on Expert difficulty). The modifier Biofeedback has a very similar effect to Lock Nest Monster, and I believe there's one node where Barbed Wire is in effect too so it's a very close simulation with a massively reduced cost, as you won't lose any streaks and it only costs three yellow energy a go. There might be other places with Biofeedback but I can't remember exactly right now.
Theoretically there's also a few modifiers in Accursed Experiments that shave off a chunk of HP either for a reason or randomly but this only affects the player's side so isn't really relevant.