Doki Doki! Pretty Cure: Mana Kekkon!!? Mirai ni Tsunagu Kibō no Dress is the first movie to have a Cure bleed (in this case, it's Cure Heart)
Now that I think about it, the other's must be really really tough in order not to bleed, no matter what damaged they took. Mana is the weak one.
I kid, I kid, but I wonder why they showed bleeding at all. I mean, Pretty Cure is a kid show, kid shows normally don't show blood...then again, I don't watch a lot of American kid show, only the good ones are the ones I watch (like Steven Universe and Gravity Falls and...that's all I can think of off of the top of my head :p)