Newkid:
Newton's Laws tell us where the energy goes.
Expanding gas inside the barrel of the gun (between the bullet and the breach) force the bullet forward AND THE GUN backward with the exact same force. Hence, bullet flies out of barrel and the gun recoils.
After the bullet leaves the chamber, it is having no work done on it by our friend the gas, and is being acted on by gravity (it always was, but now it's more relevant because our dominant friend THE GAS has gone away) and air resistance.
The bullet falls (as fast as any falling object as it happens) and slows down in the air.
Then it SMACKS the glass, imparting its remaining kinetic energy (not sapped by air resistance) into the arms of our plain looking lady in the video.
I hope that was both informative and readable.
Oh, and in the end, the forces are transmitted via friction between the shoes of the people involved to the ground, and the earth wobbles a bit.