Hunting and shooting sports in general were quite popular among British officers in places like Africa, India etc and I do not recall the mention of such a restriction in any of the writings I have read. The one gun restriction may have been something that applied while travelling at H.M.'s expense or perhaps was in effect during a specific period. Once in country, perhaps they aquired others locally or simply ordered them and had them shipped out to them; as in those days one could do such things quite freely.
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