Weren't the 'people' being taken out by sniper rifles constructs?
Watanabe's character didn't even know he was shot for a minute or two. So, obviously he didn't see the person who shot at him and he didn't feel the bullet hit him, yet he still got shot anyway. It wasn't a matter of him "believing" he had been shot, he had actually been shot, by a gun in somebody's subconscious.
It really is the equivalent of me dreaming about a clock, and the clock in the dream keeps perfect time. Or I dream about googling something, and get the exact same results as googling something when I'm awake. It doesn't make a whole lot of sense.