But pressurizing and then shooting holes in the walls and windows is simple enough to test, pressure drop/time shows everything you need to know.
Then they would blow it up for boredom's sake as teaching science to idiots is dull and repetitive.
I didn't watch the episode (or think explosion from depressurization is the primary concern of bullets on airplanes), but... just tell me Myth Busters actually took a plane to altitude and did this? Because I don't think testing at ground level, not moving, in much hotter air, is valid. And from the comments here, that is the impression I am getting of their test.
Personally, I'm much more worried that stray bullets will take out electrical systems, hydraulics/control surfaces, lead to fires, or somehow damage bleed air systems. And any of these can set the conditions for a crew to react inappropriately.