Luigi Mangione wasn't trying to get caught. Maybe he was worried buying and using a real gun would link him back to the murder.

Let's review the three possibilities here.

One, you succeed in never being identified or apprehended. Consequently you, rather than the police, have the gun you used, and you can file off the serial number and throw it into the sea or whatever. They don't know who you are so they never come looking for the gun you no longer have and it's just one of millions that were sold to random people that year.

Two, you get caught before you do the murder. Some cop thinks you look too nervous or you get into a car accident on the way there etc. and they find the gun. Having one without a serial number at this point means you're in trouble when you otherwise wouldn't be. It's a disadvantage.

Three, they catch you in the act or figure out who you are because your face got caught on camera somewhere after you took off your mask etc. At this point it's extremely likely you're going to jail. This is even more likely if the weapon is still in your possession because then they can do forensics on it, and it not having a serial number at that point is once again even worse for you. This is apparently the one that actually happened.

Whereas the theory for it allowing you to get caught would have to be something like, they don't know who you are but they have a list of people who bought a gun (which, depending on the state, they might not even have) so they can look on it to find you. But that's like half the US population and doesn't really narrow it down at all.

There is no criminal benefit in doing it so that leaves the remaining options which are either trolling or stupidity.