Anyone who carries a gun should be proficient in Gun safety. Checking for dummy rounds would add a layer of safety checks. Much like during real small arms training when I'm handed a gun from Armory I make sure it's clear and safe in front of trainer. Just because the trainer made the gun clear and safe before he stored the weapon in a secured armory, I do it again when I take possession.
Checking for dummy rounds would add another layer of safety checks. No reason the actor couldn't be part of the checking process. And, to add to the confusion I've read that others possibly had possession of the gun before Baldwin held it.