There are 20,000 laws on the books covering gun ownership. There is NOTHING more regulated in the United States.
There is no such thing as a "Gun Show Loophole". If you're a registered gun dealer, you have to follow the law regardless of where you perform your transaction - EVEN if you're selling one of your PRIVATE weapons.
An FBI study released in 2006 showed that 97% of weapons used in crimes against law enforcement were obtained through illegal means. CRIMINALS DON'T FOLLOW LAWS.
Now we can spend a lot of time, money, and effort trying to stop the .7% of guns used in crimes that are procured at gun shows or we could actually enforce the 20,000 gun laws on the books and make a serious dent in the other 99.3%. The government is great at passing laws, horrible at enforcement. One of the first things they take off the table to get criminals to plea is the gun charge - which generally means violent scummers get out way earlier.
I'm not sure why it would matter that there is guns/ammo for sale at a supermarket.