Vaudeville Question

i like old films noir (or is it film noirs?) lol. i got one recently with erich von stroheim called "the great flamarion" (1945) that is pretty good. in the movie which takes place in the 30's he plays a trick gunshot vaudeville sharpshooter. supposedly he used real bullets in the act. (in one scene he "misses" and kills one of the assistants, played by dan duryea). it's a good movie, but the thing i don't get is why the bullets didn't do a lot of damage to the scenery, stage, etc. does anybody know if there were really any trick gunshot acts that used real bullets during the vaudeville days???