Because ranges do have weapons you can go shoot with
Some do, but that’s the main attraction on their business where they loan weapons and let you shoot with them. Vast majority of ranges however are just a place in the middle of nowhere, some even without any kind of electricity and often they go days or even weeks without anyone visiting. Most of those places don’t have any kind of winter maintenance either. So if you were forced to leave your firearm there there would be very little of stopping someone malicious visiting with heavy tools and breaking into every safe on site.
For instance, if you want to shoot moose. I’m not sure if exceptions exist, but I’m pretty sure felling permits aren’t given to individual people, but hunting parties.
If you own enough land you can apply for an permit for yourself. You’re correct that vast majority of them are granted to parties and associations, but strictly speaking you don’t have to join one.
You need to show at least two years of shooting with a firearm. Where would you get that kind of experience if you’re not practically part of an association?
By yourself. You can train with a air pistol and all you need is to prove that you’re an active hobbyist. In practice you need to have a certified weapons trainer to prove your word and some of them might not sign the certificate if you’re not a part of their association, but it’s not a strict rule nor something required by law.
We have a freedom of association and that includes freedom of not associating with anyone. I’m not a member of any kind of sport shooting clubs as there’s none around here and that’s not a problem. Sure, you need to find out a certified trainer who trusts your shooting diary, but that’s it. And ‘valid reason’ is as good an explanation as any. Your hobby is target shooting? You can apply for a license with that. Your hobby is hunting? Same thing. You’re a farmer and need a weapon in case you need to kill one of your cows/wild hogs in case it injured itself and/or is a threat to safety? Sure. And if you happened to be a farmer in the 70’s you could get a permit for semi-automatic .22lr pistol for pest control, but I don’t think that’s a valid reason anymore.
So, with that in mind, I’d be very surprised if the gun used in today’s tragedy were illegal but as the media has already covered, it was a legally licensed firearm, so there’s no point of speculating with that any further.