Sherlock speculates that Wesley Conrad, who lives in New York, purchased a handgun in Vermont due to Vermont's "lax guns laws." Vermont's laws do not permit non-residents to purchase handguns. If Wesley Conrad did purchase his gun in Vermont, he did not purchase it legally.
Sherlock and Odin talk about how Odin could have "trademarked" his blocker technology. What they should have said is "patent", which can protect technology such as that, where as trademark only protects things like names and logos. Odin, as a tech billionaire, would not make that mistake. Sherlock shouldn't either.