I'm fine with not being able to switch guns mid-level, that's a cool restriction that incentivizes you to use the sword more. It's just inconvenient that even if you press escape to go back to the main menu, you can't switch guns.
Like, when I was stuck on level 7 and I had a gun I didn't like, I went back to level 1, rushed through it, switched guns, then exited from level 2 and went back to level 7. That's just super awkward when the shop really could just be accessible from the main menu.