If you shoot someone in the leg, you just don't happily wound them
Yes, actually, you do. Even if the whole leg is taken off, the man has some 20-30 minutes of living, with no blood-stoppers applied - and we're talking about a handgun shot, not amputation. Also, it happens in the middle of a bustling city - he'll get medical attention within minutes.

And yes, I admit the idea of arming museum guards with lethal weapons might be a bad idea. After re-thinking it, due to your insight (:P), other means of incapacitating the offenders might be a better idea. Certainly, we wouldn't a shoot-out in the museum - even if the guards' bullets are JHPs, that wouldn't penetrate anything, we can't promise the criminals' bullets are anything like that. Or how about, ACTUALLY NOT LETTING THEM LEAVE THE BUILDING?! That seems smart. You know, like, not letting them run away with the painting... 'cause they're, like, stealing it, an' all. And it's not even theirs!