When MacGyver finds the holster under the table, it is fastened by screws. But when he goes back with Pete and finds no holster, there are also no screw holes. Since there wasn't time to switch tables, or even turn that one, there should have been holes in the bottom of the table where the screws had been, leaving evidence of the holster's existence.
At the beginning of the episode, MacGyver says, "Miss Hendrix. Very efficient." In the next shot, we see the helicopter approaching against a backdrop of buildings that include a Royal Bank building (the tall building with the blue-and-gold logo; we just see a glimpse of it). The Royal Bank (RBC) operates its branches mainly in Canada, and has an American division that operates branches only in the eastern USA. A previous episode (#2.21) establishes the Phoenix Foundation to be located in Los Angeles; currently the closest American RBC branches to LA are in Alabama.