The doctor tells McCloud that his X-ray revealed no concussion. An X-ray is not a diagnostic tool to reveal concussion. X-rays can only reveal broken and/or fractured bones and the presence of foreign objects. There are other diagnostic tools used to determine concussion.
When the bad guy follows McCloud to his hotel he asks the hotel clerk for McCloud's room number. The clerk responds "302" indicating the third floor. Yet, when McCloud climbs out of a window in his room to escape, we see from the traffic below that he is on a much higher floor.
When McCloud goes out on the ledge at the hotel, when he looks down, it is a stock shot taken from the Empire State building.
When the bad guys are fleeing McCloud, Manny starts to throw fragmentation grenades. Even though he has pulled their pins, they are not smoking, revealing that they are in fact inert, dummy, practice grenades.
When the grenades detonate, they are 8-10 feet from the horse and McCloud. These are fragmentation grenades, and when they explode, they send out fragments from the casing. At that range, the fragments would kill the horse and most likely the rider as well. For this type of explosion not to have been fatal to the horse (the larger target), or even injure the horse, the demolitions expert should have them detonate at least 20-30 yards away. But then, it would not have been very exciting.
When Manny falls off of the motorized cart carrying the weapons shadows are thrown up against the shrubbery. The shadows are multiple and obviously not from sunlight (high and above), but filming equipment (low and on the ground).