So when he shoots his future self, what actually happens?
At this point, the movie seems to operate on a Mutable Timeline theory of time travel. So when Immortal Hilliard (David) kills (not his future self but) his *past* self, he changes things in the present by making it impossible for himself to travel back in time and change the past.
Apparently that results in a change of location, for some reason, but more than that, he disappears (since his now dead past self won't go back in time and become immortal) and so do the documentary guys but most likely because if Hilliard was never immortal, he never directed them to stone and all the events in the "found footage" never happened so they have no reason to be there.
What did he mean by "We already failed this time"?
The Other Hilliard learned more than Immortal Hilliard knew (which doesn't fit with the Mutable Timeline theory but whatever) and he learned that the Luna Stone came from other time travelers who were "testing them".
Immortal Hilliard believes they failed the test because they tried to take on the power of the stone and change history. However, his next step is illogical in that perspective, since he kills the Other Hilliard, changing history again. I guess he believes that they'll go back to the original timeline that way but obviously they don't since the deja vu he's experiencing means he's done that before and they are back to those events.
Is this actually the third layer of time?
It's at least the 3rd layer of time (although that would mean they switch back and forth between Mutable and Alternate Timelines theories)
In the original timeline (let's call it Timeline 0), Hilliard goes back to the past, changes events, thereby creating Timeline 1 (2nd layer of time), creates Lunopolis, becomes immortal and decides time travel is bad and tried to kill himself at birth. He fails and wait to kill his Other self right before the time traveling.
BUT he says he's had this conversation with his Other Self before. And the documentary guys already took the polaroid in another timeline. So the cycle already repeated at least one other time. I think there are alternating timelines though so it's probably more than that because they are not the only time travelers.
Who was the guy who picked up the gem at the end? was that the documentary guy with a shaved face?
It wasn't. It's the guy from the polaroid. My guess is he's part of the "others" Hilliard mentions who are testing them by putting the Luna Stone where they can find it. They give them the opportunity to travel through time and waits to see what they do with that power. That's the test they have been failing.
He takes the stone and the footage and resets the whole test.
Also, David James makes a comment "You dont know what it was like the first time" and then right after that says "Nobody has been to December 22nd yet". Was he just referring to the modern times of the first era before time travel?
He was. Of course he has no idea if that was the first era before time travel if someone else has been screwing with the timeline. It's the first timeline before he and his group ever time traveled, and that they wanted to change.
For all we know, it could also have been part of the test: making the timeline so bad that they'd want to go back and change things. Creating a problem and offering a solution via the Luna Stone.
And when he says "nobody has been to December 22nd", I believe he's wrong. Nobody in his group has been past that date because he keeps killing his Other Self and making it impossible for him to time travel. However if someone else is traveling back, things can keep changing anyway and obviously the world goes on since we saw the broadcast.
For every lie I unlearn I learn something new - Ani Difranco