It was possible that Vandalieu’s belongings would be thoroughly searched by the gatekeepers as he entered the city. If by some chance they found Darcia’s bone fragment and somehow realized that her spirit was possessing it, it would be troublesome.
If the gatekeepers called for people or tried to purify Darcia’s spirit, Vandalieu would be forced to run, even if he had to kill the gatekeepers to do so.

“It would be problematic if I had to fire Death Bullets in random directions, don’t you think?”

Indeed, it would be problematic. If Vandalieu did something like that in front of the city’s gates, it wouldn’t be only the gatekeepers’ lives at risk. The walls around the gates would turn into a mountain of rubble… in fact, it wasn’t clear if rubble would even be left.