Wheatley is either an idiot or they wanted to show his ego is out of control. It doesn't matter if they find a body or not, an undercover cop goes missing after being at his house, he can still be arrested for her murder.
As for Gina, first shot was in the gut, second upper chest, if that one missed the heart or major arteries, she would have to get to a hospital very quickly. But it is TV so she could still be alive. In reality, she would probably bleed out in 5 minutes.