Well, I guess they're technically unkillable, thus not to offend the Chinese government.
I still don't understand how this rumor got started.
China does not mind the Pandaren being killed, WarCraft 3 has the Pandaren Brewmaster getting hacked up by various forces when he is purchased from the Tavern and used offensively, and that game is played by millions in China. There are even various other MMOs in China that use the anthromorphic Pandas as playable characters, without incident.
The reason was actually due to cultural issues. The Pandaren were designed by Samwise to be hemogenization of various cultures in the east, including China but much more heavily influenced by Japan. China does not want the Panda being presented as anything other then Chinese, and took offense when they learned the Pandaren were going to have a dominate Japanese-style culture. Here was the original look of the WarCraft 3 Pandaren Brewmaster.
When this was learned, and they attempted to get clearance for release in China, the government got pissed off, and was going to ban the game from sale in China. Blizzard, not wanting to lose that whole market, changed it to this.
Not long after, China gave consent for a WarCraft 3 China release.
While it is possibly that China has gotten more strict over the years (no bones? wtf), I lean more on the idea that Samwise, the one who created the race as a Japanese-style culture, probably just got so bummed out that he would never be able to display them how he intended, and thus the race was put on hold. Samwise has not made a good Pandaren image in a long time, instead turning his interests more to the Pandyr, a new anthromorphic Panda viking-style race that he posts on Sons of the Storm.
