The time this slipup occors is between

9mins20secs to 9mins30secs in the movie.

1) Now 9 mins in to the Matrix Reloaded Agent Smith knocks and hands to one of the watchmen a small envelope and he responds to Agent Smith with "piss off".

2) Neo comes down the stairs and askes "Who was that?"

3) The Larger Guardsman(the one holding the shotgun) says to Neo "How did you know someone was here?" now pay attention to the shotgun.

When the envelope is handed to Neo the Larger Guardsman now is holding no Shotgun and his hands are at his sides. Then when the small Guardman Says "He said you set him free." you can see the he his holding the Shotgun again.