- A shockwave is going at the speed of sound and the bullet is likely going faster than the speed of sound
- Some "air effects" may linger or occur at slower speeds. The pressure wave can cause humidity to condensate out of the air, for example. Sometimes you can see this in aircraft that are manuevering at speeds lower than Mach 1.0 because they change the pressure drastically around their surface.
Not sure why the agent say the photo could be of some air effect (shockwave?) and not the actual bullet.