Continuity mistake: In Millie's Stash House, the first time you see the revolver Guy takes out, it is not cocked. Then, it is cocked. Then, it is not again. Then, it is. Then, not at the time he actually picks it up and cocks it. (00:26:38 - 00:27:02)
Continuity mistake: Near the start during the 1st bank raid, his hands change position while lying down on the ground talking to the guard.
Answer: The cops are there to enforce the rules of the game and Guy's not following them. In GTA-type games like Free City, when you get Wanted, every cop in the game knows right where you are. This is playing on that.
Captain Defenestrator