You are correct about the Alchemist being unable to target the orb in the first place, and thus can not "Hit" it. However, you are wrong about there being any sort of requirement to get to the Damage and Effects stage. An attack will actually go through every combat step, regardless of if they are relevant, unless something specifically says otherwise. The definition of hit lists some things that do specifically skip Damage and Effects, but merely failing to deal damage does not.
So, I have to go through Damage and Effects even if there is no damage or effect to apply, I have to go through Damage Barrier even if the defender has none, and I have to go through Counterstrike even if the defender can't make one. Basically I enter the step and say "Does anything happen? No? Moving on." In practice, it's not really much different than seeing that they are irrelevant and then skipping ahead, but as far as game rules go you do pass through the steps and not over them.