You are thinking in terms of atoms and molecules and you are mainly talking of solid state matter .
Solid state is another quantum mechanical phase, it has lattice structure with much smaller energies than atomic and molecular transition structures. Lattices have vibrational levels which are mainly responsible for the black body radiation solids emit, infrared is also photons.
A rule of thumb with radiation impinging on solids is that if the wavelength is smaller than the lattice dimensions the photons can penetrate easily the lattice, interacting only with direct scatters hence the higher penetration of X rays and gamma rays. Here is an article that discusses the penetration of radiation, X rays and higher.
For glass and optical frequencies there is a good answer here in this site., essentially the structure of the transparent materials is such that the photons pass through without loosing energy in the visible.
For infrared where the wavelengths are large in comparison with lattices or distances between molecules in liquids, the photon can give up its energy in collective excitations at the surface gradually heating up the material.
For ultraviolet, glass, depending on the type, has some absorptive bands, the photon energy transferred at the surface to collective modes or breaking molecular bonds and transformed to heat ( infrared) further in.
So your
Once you reach a critical frequency, however, the photons will begin to be absorbed because they have enough energy to excite the electrons (which is why glass is opaque in ultra-violet).
has small probability to happen until x-ray energies are reached which are the energies of bound electrons, and the link above gives the dependence in a simplified manner.
Higher energy gamma and longer wavelength radio?
Keep in mind that the different 'kinds' are merely human labeling conventions for a spectrum that is continuous in the mathematical sense. There is no feature of "radio" that distinguishes it objectively from microwaves. We just pick a boundary on the basis of some technological limitations that apply when we decide the difference and stick labels on.
The reason there aren't labels beyond radio and gamma is that there is no real need to label those bands.
Best Answer
As X-Rays & $\gamma$-rays have very low wavelength, one could think of building an X-Ray or gamma-ray microscope. But, the problem only arrives at focusing both. They can't be focused as visible light is focused using refractive convex lenses (in microscope) thus providing a magnification of about 2000. Another problem with gamma rays is that they've very high ionizing power and interact with matter to the maximum extent thereby destroying it (causing atomic decay).
But on the other hand, we've Electron microscopes which work on the principle of wave nature of moving electrons. Electrons accelerated through a potential difference of 50 kV have a wavelength of about 0.0055 nm. (which is according to de-Broglie relation of wave-particle duality - $\lambda=\frac{h}{\sqrt{2meV}}=\frac{1.227}{\sqrt{V}}$nm) This is $10^5$ times less than the wavelength of visible light there by multiplying the magnification by $10^5$.
If you've read enough about electron microscopes, you should've known the fact that Electrons could be easily focused using electric & magnetic fields than going into a more complex one... :)
Even if these great physicists try something of focusing the gamma rays, it's production and maintenance would be far too difficult and expensive either. Because, we know that $\gamma$-rays could be produced only by means of radioactive decays which is biologically hazardous...