As long as the user of the gun thinks it is real, it should be usuable despite the Palace owner. The shadows themselves don't distinguish between fantasy and reality, and the palace owner will never see the gun. Probably. Otherwise Kaneshiro, who has probably actually shot someone before may recognise it.
Phantom Thieves do hurt eachother in confusion, but they seem to be able to take a few hits. They seem capable of killing eachother like anyone else. Granted that's in combat too; we all know how Persona is with scripted deaths.
As for Mona's slingshot, I assume it's powerful because he thinks it is, in the same manner as guns. Unsure of their exact properties as we don't see it out of battle. Animation may show something interesting.
I assume an evoker wouldn't kill someone in the Metaverse because in the users cognition, it's not a gun, and therefore wouldn't have bullets. If Ren picked it up, perhaps its properties would change?
Personas are dangerous in the same way that anything can be, really, it just depends on the user. We've seen them used for good, ill, and a case where they can go berserk and kill the user or someone else in peculiar circumstances. Persona's don't kill people, people kill people, basically. Though, a sentient Persona would be... interesting. They could turn out any number of ways. I imagine they'd be pretty much the same as demons.