After killing Marsden, Jennings leaves the house and holsters his pistol, however in the next shot he has his pistol in his hand again
At the start of the movie on the day that Al is being born one of his brothers has a toy bear. Jennings was born in 1867 and toy bears were not manufactured until 1902 (by either Morris Michtom of Steiff in Germany).
Taking over the gang the reward money for Al rises to $20,000 so he and Frank decide to leave for Louisiana before the gang decide to turn him in. They're next seen in Louisiana with no indication on how they got there.