Hmm...
When they examined the goblins, they correctly identified the type of wounds.
But didn't find any projectiles, which is why they presumed magic was involved.
At the time I just assumed the bullets had completely passed through the bodies, and not been recognized amongst the debris.
Now, in that his equipment fades out of existence shortly after leaving his control [no problem leaving it on the table, as it was still 'his', but when someone else picked it up, it faded away], did the bullets just vanish shortly after impact?
This does mean he can't become an arms merchant, or equip companions with his weaponry.
However, does gunpowder work in this world if mixed from its constituent parts locally? In other words, is the chemical reaction allowed under this world's physics?
If so, it would still be possible to develop a local arms industry, by making their own gunpowder, and going from there; it would still be possible to look at the components of his weaponry so long as he was the one to disassemble it, and hold it in the positions requested by the craftsmen so that they could examine them. While they might not be able to replicate the precise items he has, this should provide enough understanding to allow them to design weaponry within their tech base.
That does presume he has knowledge concerning the composition of gunpowder. If all his experience is from games, he might not have a clue about that.
It's definitely not something that gets discussed in any Isekai that I've read, quite unlike the Science Fiction that I've read over the years in the US, where reasonable summations of the process of producing black powder were quite common in the time travel and trans-temporal stories published in the 1960s and 1970s.
Of course, one of the standard things was that in worlds where magic worked, gunpowder didn't. Although, Roger Zelazny dealt with that quite nicely by having his protagonist accidentally discover another compound that would explode in a sufficiently similar manner to do the job.