Why did I die when my car exploded?

In the middle of a 5 star fight with the Morningstar, I hopped into one of my tricked out rides and lead the gang members on an exciting car chase filled with gunfire and vehicular mayhem.

I had just bought the "Damage - Explosions 4" upgrade, which supposedly makes me immune to explosion damage. As my Saint's purple car caught fire, I quickly went to exit the vehicle, but I was too late. The car exploded anyways and I woke up in a hospital, my wallet $500 lighter.

Was it because I was in the process of exiting my car that caused SR3 to glitch, or is car explosion damage a whole different type of damage?

I've actually noticed the opposite of the effect Dave describes when playing, which is more in line with what you saw. I had all the invulnerabilities, and I noticed this odd behavior.

If you jump out of a vehicle right before it explodes, you'll die. However, if you're in the vehicle and it explodes, you'll survive. It caused me no end of consternation because when the vehicle catches on fire, my first instinct is to jump out of it. Staying inside keeps me safe, though.

With all the invulnerability upgrades, you can crash a jet directly into the ground at high speed and survive. If you jump out right before it explodes, you'll end up hurt or dead.

I don't know if it's a glitch or a feature, but it's something to be aware of nonetheless.

You cannot purchase invulnerability to the damage caused by being inside a vehicle. Even with immunity to fire, vehicle, and explosions, if you are inside a car when it explodes, you'll be killed. (Standing next to an exploding car will not damage you; it's only being inside that makes you vulnerable.)