I think this is the new provision for terrorists to check whether they are on a government watch list.
Earlier, if you were planning a terrorist attack, you always had to watch your back in case you were being watched. Now, all you do is to go out and buy a gun. You'll know within a few minutes whether the feds are watching you (but don't quite have enough evidence to arrest and charge you with a crime).
Apparently, the current NICS check does check against the lists, and the FBI is informed whenever there is a hit. The transaction goes through so as not to forewarn the terrorist that there are bing watched. This allows LE to build an airtight case and conduct the arrest at a time and place of their choosing.
WTF