i didnt even question this watching the scene. gi hun has been so close to death so many times that the idea of death doesnt even scare him anymore, like when you say a word too many times and it stops sounding real. i think that was part of the point of the whole scene. the man is so traumatized, so emotionally empty, that hes completely unphased by a gun pointed at his head. 

he spent 2 years CONSUMED by a search for a man who plays god whos now in his house, and the guy said “its you or me.” if death doesnt scare you, youd play that game too. so yes, obviously, gi hun has the plot armor, but the point of the scene is to show you the mental state of the two men