LEOSA specifically exempts both currently employed and honorably separated LEO's from ANY state or local law relative to the carriage (read possession) of a concealed weapon they've qualified with under THEIR state's qualification requirement. Neither NYC/NYS nor any other jurisdiction (inclusivee of U.S. possessions) can prohibit such, provided the person is qualified and has the required ID with him.
My bet is that the use of that gun at a range would also meet the criteria of the provisions of LEOSA as the CCW prohibition itself is moot. There is no statement in that law that prohibits discharge whatsoever........frankly, I'm also a retired LEO & I wouldn't hesitate to engage in recreational practice and I most seriously doubt you'd get any hassle once your ID & qualification card was shown.
Incidentally, that CCW exemption INCLUDES weapons that otherwise might be prohibited in a restrictive jurisdiction and does not specify ONLY handguns!