In addition to that, the whole FM band is much higher frequency, while I guess quite a lot of noise, especially burst noise caused by eg thunderstorms is relatively low frequency. So it’s not picked up because it’s out of band.
Any noise that falls inside the channel does get picked up by the receiver regardless of modulation. However because the available bandwidth is so much higher than the real bandwidth of the useful signal, there is actually way more information redundancy in FM encoding, so this allows to remove random noise as it will likely cancel out.
If I encoded the same signal onto 20 separate AM channels and then averaged the output from all of them (or better - use median filter) that would cancel most of random noise just as well.
Also another thing with modulation might be that if there is any narrow-band non-white noise happening to fall inside the channel (eg a distant sender on colliding frequency), on AM it will be translated as-is to the audible band and you’ll hear it as a single tone. On FM demodulation it will be spread across the whole output signal spectrum, so it will be perceived quieter and nicer by human ear, even if its total energy is the same. That’s why AM does those funny sounds when tuning, but FM does not.