In The Matrix, we can see that it is possible to make simulated worlds or rooms in which the characters can train their minds. We also learn that these worlds/rooms, as well as the Matrix, are not real. If these worlds are not real, it is possible to bend them as we see fit. It means that we can avoid having injuries.
It is possible to get hurt if we believe in the rules and do not attempt to break them, but why isn't Neo and his team breaking the rules when he fights against the Agents?