Oh when I said I couldn't find a way to reload I meant the gun. I did find the load from checkpoint option.
Once I entered that room I couldn't leave again, the door turned to the BLOCKED message. Or maybe it only locks once the monster wakes up, I didn't try to leave until it was chasing me. I did see the message about finding the gun, but I thought it was talking about that room, so I was running around while the monster chased me trying to find it.
https://www.twitch.tv/videos/598103300 If you want to see my experience with the game btw, you can watch it here. Yours was the very first game I streamed, so just skip forward a couple minutes past me setting up.