With a gun like the 45/70, you DO want the bullet to exit. You would also like the bullet to mushroom somewhat, but with a 45 cal bullet that is less important. A deer won't survive a 45 cal hole through its vitals, and two holes leak better than one. Guys smarter than me (like Elmer Keith and others) have debunked the energy dump theory with larger caliber slower moving bullets. Basically, you have not hit the animal as hard as you can until you have driven the bullet through the animal.

I have shot deer with the Remington 300 gr short jacket HP, and at close range they did what yours did. The 405 gr RN would perform better at close range. It is not a heavy recoiling round either. Shot through the lungs/ribs, it may not expand, but who cares? The deer won't be far. If you want to anchor them, shoot through the shoulders with the 405 gr load.