Yes, we can conclude that the bullet was inverted from the reverse effect it has before/after(?!) impacting the wall. Were Neil inverted no more explanation would be required, but he appears to be moving normally; a viable course of events is that, after (in his un-inverted perspective) Neil leaves the opera, he then removes the magazine from his pistol and unloads the inverted bullet from it (the casing, powder, and slug of which were sucked into the ejection port and barrel respectively after he shot the SWAT officer). That inverted bullet then continues moving forward in our timeline (backwards from its perspective) before reverse-entering the "blue" side of a turnstile, concurrent to its un-inverted counterpart entering the "red" side. Its un-inverted counterpart (the same bullet, ontologically) would have been moving forward in time since its conventional manufacture.
As to why Neil would go to the trouble of using inverted ammunition, hard explanations are scarcer. Perhaps it's because they leave no evidence behind? That they're lighter to carry around? I'd guess the real reason exists in the viewers reality: it was another opportunity in the narrative to show inverted objects in action.
Source on the bullet being inverted/disappearing hole (from the script, page 6):
BLAM! With EXPLOSIVE FORCE THE BULLET HOLE DISAPPEARS – A
NICK HAS APPEARED IN THE PROTAGONIST’S UNIFORM – he SPINS –
the SWAT is SHOT THROUGH THE CHEST AND DROPS... revealing a
FIGURE, also in a gas mask and tactical gear...