It's not illegal to carry a firearm into a fire station in Virginia, and if you're being polygraphed, you're probably not an employee (yet). So if the applicant had a concealed handgun permit (doesn't specify) he's done nothing wrong. In fact, he's demonstrated his maturity and willingness to resist a felonious assault. Probably someone with the character that you would want as a firefighter. Just saying.
As a retired Master Firefighter/ Paramedic with the VBFD and a concealed handgun permit holder and as some one who has sat on 3 interview boards for the VBFD, DO not bring your firearm to the polygraph or interview.
Making fun of someone who had to call a therapist is just poor form. You got a laugh out of it, don't make fun of someone's struggles. (However, the drug test related ones....they kinda had it coming)
If someone cannot handle stressful questions without calling their therapist they are definitely not going to handle life an death situations that a Firefighter deals with daily.