weights, etc.) and in the desert (where they could just be shot)
There is a way for objects from the market to move into the "desert world", as seen with the purchases of the two visitors (the human couple), as well as the monster jumping out to attack the bus 
Valerian shoots in the virtual world and falls between "floors" (there are several levels in the virtual world) - how would that match with the desert?
When in danger, why not just removing the glasses, since he is physically on the desert anyway?

A:

Valerian and Laureline are the only ones visible on the desert, being
  within the market at the same time

The other mall tourists are also visible on the desert. It's just that Valerian and Laureline moved to apass through.

There is a way for objects from the market to move into the "desert
  world", as seen with the purchases of the two visitors (the human
  couple), as well as the monster jumping out to attack the bus

There are several larger 'checkout' portals through which the tourists can transfer large purchases. The organized crime boss alien is seen attaching the monster's cage to one of these, through which it enters the desert.

Valerian shoots in the virtual world and falls between "floors" (there
  are several levels in the virtual world) - how would that match with
  the desert?

The shooting is possible because he put his hand through a small portal, specifically for the purpose (it seems) of being able to hold and fire a