As far as I know, diplomatic visitors have the same immigration status as me, i.e. they are "non-immigrant aliens". Non immigrant aliens are generally prohibited from possessing firearms of any kind unless they meet meet of the exceptions explained in section (y)(2) of
http://www.nraila.org/federalfirearms.htm#GCA
The one that applies in this case is probably a waiver issued by the Attorney General.
(my excuse is I have a hunting license of course!)
To import a firearm, I'd have to apply for a license, either an State Dept. import license, or a temporary import license from the ATF.
Maybe these guys have a back door system though!
Also, if they were on there way to the embassy, which is technically Israeli soil, they could probalby bring the guns without any paperwork because it doesn't count as importing.