Why are regular plastic bags not smell-proof?
Well, you basically answered your own question nicely with your "obvious answer" discussion. On a molecular scale, smallish molecules, like the volatile compounds that evaporate and make way to your nose, are able to permeate the plastic. This happens in part for the reason you said; on such a small scale, the plastic that appears fully "solid" and impermeable on a macro scale is actually a mesh of molecules with paths large enough for these small, smelly, molecules to escape.  

There are factors at play other than molecular size, like the chemical composition of the plastic and the escaping compounds. If the compounds have a strong affinity for the plastic, it will take less time for them to permeate as they will more quickly absorb through the plastic.  

Regarding your observation that the plastic seems to hold liquids, but not smells; this is probably an illusion. I suspect that the liquids you've placed in the bag actually have little or no smell (i.e. water, food oils). For example, in an analytical laboratory setting, water samples or water-based standards stored in various plastic containers have a limited shelf life because the water slowly permeates the plastic, evaporating into it's surroundings. So the water is escaping the plastic just like a smelly compound might do, but of course water has no smell.