There are definitely concerns but most anti-PVC websites are exaggerating the problems so much as to make me suspicious of any claim they make. For example, note that no distinction is made between plasticized and unplasticized PVC... this is because they want to imply that most/all PVCs contain
DEHP, a plasticizer. PVC pipe is unplasticized. (Don't get me wrong though--I don't disagree with their goal, but I do think its wrong to misrepresent the facts towards any goal).
Will PVC properly used in water guns kill you or cause any significant health problems? The chance is so low I'd venture to say never.
I do think PVC for most things should be phased out, but for the mean time PVC for water guns seems perfectly fine.
We're not drinking from the pipe. We're not eating off the pipe. We don't stick the pipe in our mouths. We're not directly inhaling PVC cement. We don't burn the pipe. The time the water spends in the pipe is so low I'd be surprised if anything substantial leeches out. If you want to minimize your contact with the pipe, assemble a water gun with gloves (this is great for the cementing part actually) and put some bike tape where the handle is (which makes it much more comfortable too).
There is far more cause for concern in the manufacture of PVC and the environmental impact at this stage. Sadly, the alternatives aren't much better if any better from what I've read. I'll have to pull up some links.
If you're really concerned you can use other products when building and research which are the best to use. Don't be surprised when they are more expensive or what you are looking for doesn't exist as the infrastructure is built around PVC at the moment.