It's revealed Ricky owns a rifle and Fred has two shotguns, but when the Ricardoes and Mertzes are standing guard later, all four of them have guns.
When the sergeant starts to walk to the jail cell, it's obvious he's starting from the edge of the set as there is nothing else there, not a hallway, desk, etc. And as he walks the few feet to the jail cell, the camera shadow covers him and the set wall behind him.