Is it possible the bullets are only effective on robots? The man in black has been shot twice now and the bullets just disintegrate. Firstly in the first episode by the guy from X-Men and then by shotgun by Thandie Newton in her flashback.
It would make sense as how else would you stop humans accidentally shooting each other? this would point to the man in black being a human. It also gives credance to the gun the girl found. If its real she can shoot back!
Bloody nora! Thats not even a theory what you've said there, its the plot! Its made clear that the bullets only work on robots and the robots cannot harm humans from the start