At the end of Jumanji, as Alan makes his saving roll, we see everything go up in smoke and get sucked back into the board, starting with the bullet that was about to hit Alan. But Van Pelt's gun didn't come from the game, he bought it in a gun store. Why did it disappear like that?
The Jumanji game we see in the movie was started in 1969. From the beginning to the end of the game, everything that happens is a mere illusion generated by the game itself.
Now, Allan “disappears” for 26 years, until 1995. Everything that happens during these years, as realistic as they may seem at first, are still part of the game, including Van Pelt's new modern rifle. So, when the game is won everything created by it is reset with the smoke effect, including the rifle.
The gun vanished not because the game generated it, but because Van Pelt brought it there, brought the bullet there, fired the bullet there. All consequences of the game were reversed, and if Van Pelt was never there, than neither was the bullet or the gun.