It's cool that the fantasy hospital world is continuing for more than one episode on Legion, but we can't forget why they're there in the first place. Is Syd going to die on Legion? She's in danger when she returns to reality — that is, once she figures out what's behind that door.
The group was pulled deeper into David's mind after Rachel was threatened by gunfire. Before the bullet reached her, they zapped into an alternate reality in which all of them are hospitalized, and Lenny is their therapist. The impending danger is probably why David is hesitant to wake up and leave that reality, even if he doesn't realize it. At least, that's part of it. He's also clearly not in control of his own mind. Who knows what's happening to David, Sydney, Cary/Kerry, Ptonomy, Amy, and Melanie while they are attending group sessions at the imagined Clockworks.
I don't think one bullet will take Sydney down. She's too important to lose this early on in the series. Maybe someone else stepped in front of the bullet, like Melanie — who tried to help before. While returning might be tricky, and seems like it might require conscious help from Oliver Bird, she's likely in the clear. That said, the fallout from this incident won't be smooth.
David may not have a lot of control over his mind, but he has some, and he put everyone in danger then kept everyone in danger in a way that could be perceived as selfish — even if the situation has more nuance to it. It's difficult to tell what's real on Legion, but bullets are hard to ignore.