So many things here...
First off: if I'm on the job and not obviously armed and someone asks me if I have got a gun, you are getting the stink eye and a snarky answer. You are not getting the truth. My usual reply is. "They don't trust me with a gun, but I have a vicious squeaky chicken" Trust me, if you are asking me if I'm strapped, you've gone straight to the top of the suspicious person list.
Second: Yes, many states do allow discretely armed security. There's about a 90% chance that if I'm wearing a blazer, i'm wearing a gun under it. It's under the blazer so that you don't know about it, and I'm not going to tell you about it.
Third: there's no reason to remind a guy on the job that bad juju happened at a similar work site. Trust me, he knows already. I'm pretty sure he's not only heard about it a thousand times from his family, co-workers and customers, but he's probably had a couple of memos and training circulars from the home office too. I'm sure that management came up with a half bake "active shooter" plan which has little more value than as a page stuffer in the operations manual so they can show their insurance company they "have a plan".
Fourth: Some low level security guy gets to do what the boss says, and the boss says to do what the client says. If the client says no guns, then the guards options are don't wear a gun and collect a paycheck, or no job. It turns out that outside of gun forums, most people consider the paycheck to be more important than always having a gun on them.
Fifth: Movie theaters are actually pretty low threat environments outside of the occasional drunk and disorderly. Most of them don't need armed security... and the ones that do, well, you should probably think about frequenting other movie theaters. And yes, yes I know, "But Click, so and so list of theaters that have off duty police" There's a world of difference between off duty police and security. People see police officers and we instinctual associate with law enforcement and authority. People see security, and they associate it with Paul Blart. Right or wrong, that's the way it goes. You get a lot more bang for your buck with off duty police, even if they are just vastly overpaid MPAA enforcers who do nothing all night.
Sixth: Armed security is expensive. Management isn't going to spot for the extra cost of hiring armed security when they can get an unarmed guard for several dollars an hour less. Despite movies being cash cows, movie theaters aren't. The reason why popcorn and a coke costs a billion dollars at a theater is because that's how they make their money. They make almost nothing off the ticket sales. The profit margins are very slim and they aren't going to spend unnecessary money on a guy who stands around.
TLDR version: Most movie theater security won't have guns, yes they know there was a mass shooting at a theater and most guys are just doing it for a paycheck.