Moxxie hadn't mentioned the gun room, and the door was normally closed. Whether or not Anthony had ever known about it in the first place depends entirely on how likely he is to snoop around in the apartment he's living in.

"Yeah, it's the door that's always shut!"

As for him needing one...

"No, I can't curse people. I can heat up a cup of coffee, and that's about it. Other than that and being fireproof, I don't have any magic."

Which seems to be the case for his previous self as well. he doesn't even have memories of the past Moxxie being able to heat up coffee or create small flames, and he does have memories of him using guns quite a lot. He cringes when he hears the crash.

"What was that? Are you breaking my stuff?"