Mythbusters found pretty much the same thing - IF (big IF there) you can fire it EXACTLY vertically so that the returning bullet is just like it was dropped from a balloon or something, the terminal velocity is not lethal

However, with any significant angle off-vertical, the bullet still travels in a stable trajectory and orientation, so will impact with a speed much higher than random-orientation terminal velocity, and be potentially lethal, even if passing through some roofing material on the way into your body.

So yeah, don't shoot into the air, and don't be around where anyone does...