He holds the guns just fine, they don't fall. The fingers close as far as they can with a gun in it, but the same can be said for MP28 too. The only tighter way you can get a grip is to have a solid fist with a gun that pegs in like the G1 toy (but sacrifice any hand/finger articulation).
From the MP Rodimus comparison thread (btw people are welcome to post comparison pics between MP9 and MP28 on that thread if they like)
Left: TakaraTOMY's, Right: Hasbro's. Notice that the tabs are thicker on Hasbro's. This is what allows these guns to be held properly.
You can see that Hasbro's protrudes out further too, so it goes deeper into the slot.
When I made TT's MP9 and Hasbro's MP Rodimus swap guns, Hasbro Roddy dropped TT's guns and TT MP9 was able to hold the Hasbro guns just fine. So the problem with the gun grip was with the guns, not the figure itself.
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