I guess they do, but OM proteins can be obtained because they remain bounded to peptidoglycan fragments and this allow to separate them by centrifugation at high forces.
I also think that it has to do with LPS found in the outer membrane of Gram-negative bacteria. LPS inceases the negative charge of the bacterium. On the other hand the sodium lauryl sarcosinate (SLS) is negatively charged in solutions of pH greater than about 5.5, since SLS has a pKa around 3.6 due to carboxylate in its molecule. I guess because of this negative charges solubilisation is prevented. Therefore, I would say that it comes down to the pH of the solution that SLS is found.
Gram-negative bacteria are resistant to detergent including SDS due to the strong lateral interactions between LPS molecules. These interactions are mediated by cations (Mg and Ca) bound to negatively charged phosphate groups of LPS. In order to lyze the cells with SDS, it has to be combined with EDTA to chelate Mg ions from LPS or by doing SDS treatment at acid pH to neutralize LPS charge and release cations.