Wait, I'm confused...

It was made pretty obvious that they were not there. Not so much hints as directly showing it you from the point of view of each character, the robber and niles. How could you miss it? The real question you should be asking is, did niles understand on any level that they were not there? When questioned about it he simply ignored it and moved away saying he had to get back to his guests.

Even there I'm left wondering, did Niles walk away because it just didn't suit him that the robber was wasn't playing along or was that a genuine step on his nerve and he had to walk away to avoid facing it lest his carefully constructed reality break down.

Later when Niles takes the pills he says something about not taking too many, that he had to be able to function in his job. This makes me think he had in the past taken enough to know he could no longer control his attempt at fitting in as a normal guy. Even in the car with the other policeman, he's walking a thin line between everyday reality to versions he wants to see. Like having criminals murdered/beheaded as happens in other countries (when he's responding to the news report on the radio in the car)

Either way they were all great performances. No one let the side down. Thoroughly enjoyed it.