It might or might not have been Federal property. I can tell you that most NG armories are on state owned property. Even some entire installations are state owned property. Up here in VT, the only installations within the Guard on Federal property are at Ethan Allen Firing Range (EAFR). The NG state HQ is on Camp Johnson in Colchester, about 13 miles away, and that's state property, not federal. I wouldn't be surprised to see the Reserve also use state owned property.
Now, how this plays out is probably already covered in existing agreements. I think the responsible parties for the security of that facility certainly have some tall explaining to do. And, I think you'll see them answering to federal authorities, not state, probably DOD authorities. Even if the facility is state owned.
Up here, the "vault" alarm in our local support maintenance shop arms repair facility is hooked to the area state police dispatcher. If that alarm gets tripped and the dispatcher isn't called right off, there will be a cruiser (or several) there pretty quick.
Mike, "vault" is the word they use. I think you'll find the facility is more than just a locked room with an alarm and less than what most of us would consider a real vault.