Good. I agree. So that would imply that nobody actually shot at him. Which as preposterous as it seems, is what my gut tells me is the most likely scenario.

So that begs the question. What would be required to make a crowd THINK someone took a shot and killed a person in the audience?

It's not impossible. Difficult for sure. It would be a somewhat complicated psychological operation, and would involve a victim that appeared at a casual glance to be human. But not necessarily outside the realm of what is achievable with current technology.