You might want to try using separate sprite objects for collision masks. For an enemy or your player, use a yellow box. This is your collision mask. Now have the sprite mask always set to 0,0 of the box. Tada - perfect collisions. The built-in collision masks are only good for platforms, bullets, collectables, etc.
If your enemy uses a melee weapon, then do this..Add the enemy and all of his animations. Then, make a clone of the enemy. Now, erase the enemy from one object and leave the weapon, then erase the weapon and leave the enemy on the other. Now, always set the weapon position and angle to the enemy's. Tada- The weapon is now perfectly in-sync with the enemy and has it's own pixel-perfect collision mask.