Fortune doesn't want the vest, mane. Too big for him, anyway. Reason he says it's better for him than for Kagrin is because for a bullet to hit him while he's showing off the new hostage he's got, it would have to pass through the front of the vest, the big-ass orc's chest, and then the back of the vest, first.
Edit: #GreenLivesMatter
Also, he's reading Kagrin's dive through the window as some kind of Leroy Jenkins-esque charge ahead on a police assault, since, to be fair, that's pretty exactly what it looks like.