Er, it's a killing shot. She gives an order, he says no, he's not threatening her, and she shoots to kill. She's lucky it's Batman she lost her temper with, otherwise she'd be looking at charges. Penguin's reaction is helpful to understand that: "I'd tell them you had no other choice".
You bet he'd be taking the gun of someone who was out of control. Especially a cop who should really know better.