Different people have different levels of being buried in their preconceptions and stereotypes.
Preconceptions and stereotypes make people misinterpret the Teaching. The more someone is stuck in harmful stereotypes, the harder it is for them to understand the Teaching correctly. (It's not as much a problem of mental capacity, as it is a problem of overcoming our ego's neurotic defenses. The more someone is lost in Samsara, the more it would hurt one's ego to understand the Teaching, so misinterpretation becomes a mechanism of pathological self-defense.)
Misinterpreting the Teaching causes all kinds of trouble, from the student losing faith and falling away, all the way to literal psychosis and even violence, creating negative karma in this and future lives.
This is why the Buddha came up with a gradual teaching system, where the student is given the simplest and most fundamental principles first, gradually ascending to the more subtle and advanced. This ensures safety and stability on each level of training, as explained in the famous cow metaphor sutta.
The more advanced the teaching is, the harder it is to understand, the easier to misinterpret.
For example, as Max pointed out above, the advanced teachings on so-called Emptiness have a tendency to pull the ground from under one's feet, which both demotivates and confuses unprepared students, hence the restrictions.
That said, tantra is far from being all about Emptiness. There are tons of tantric tricks designed to overcome particular psychological problems and most of these tricks are - to put it mildly - not politically correct and therefore cannot be shared outside of a specific (and private!) teacher/student relationship.
This extreme sensitivity to context, and to the audience's level in general, along with the very real harm that comes from misinterpretation, are the main reasons for restricting the more advanced teachings "to only some individuals".
In addition to being genuinely advanced, Vajrayana plays on people's love for secret teachings and uses the mystery to captivate its students.
That's exactly what the dorje or vajra scepter is supposed to symbolize - the union of Emptiness and Compassion manifesting as the skilful means of liberation.
As for the Musk's vajra sitting on his bedside table next to the pistols, I think the symbolism there is simply that of peace. Apparently the original Indian vajra was an actual weapon with its prongs open and sharpened. Closed vajra then symbolizes non-violence, similarly to how the Christian cross was originally a pacifist play on the obelisk - an ancient symbol of manly power. So I see Musk's vajra as "the weapon of peace", which is a nice image.