I actually like the idea that the whole movie is a delusion. It fits what we see. The whole city coming to revere him (before he does anything public) is a lot easier to swallow if it's his delusion. The way he casually slips past the police barricade at the movie theatre, and then Thomas Wayne doesn't have him arrested. Getting to go on the MurrAY Show with no pre-screening, nobody checks him for a gun, being allowed to go on in full clown make-up...plus the whole thing was being aired live, which I don't think would have been still happening in the 1980s. My research failed me on this particular point however.
The movie has a very dreamlike quality throughout. He walks away from the detectives mid-conversation and they don't follow him inside. He kills Randall and Gary doesn't appear to call the police on him. His "girlfriend" doesn't call the police, and we never see her again after that scene. The cops don't come after him for stealing his mother's paperwork from the insane asylum either.
It's all told as a series of "scenes" that fit the way you would come up with something in a fantasy without the inconveniences of the real world to intrude.
He doesnt have the whole city revere him, though, he has a very vocal plurality.
As for the security being lacking... I'm taking a shot in the dark here, but are you old enough to remember 20th century protocols? Things were very, very different.