Roy made a point of keeping his gloves in his pockets, just in case they turned out to be necessary. He understood their reasoning for confiscating weapons, but Roy didn't like being left with nothing. So he willingly turned over his service pistol, but kept quiet about those gloves.
He boggled at this portal thing, taking up the front line with Riza and Argos and a few assembled men, keeping the civilian population surrounded by military personnel as much as possible, for defensive purposes.