Something many people confuse is the legal status of a muzzleloader for the purpose of transfer or the purpose as a weapon.
For example, under Federal and most state laws, muzzleloaders are not regulated as firearms for the purpose of transfer. So, for example in one of those states, you can legally order one online and have it shipped directly to you at home without the necessity of shipping it to an FFL, filling out a 4473, and undergoing a background check.
However, this does not necessarily mean that you can carry the muzzleloader without a license. E.g., just because you mail ordered a Colt 1860 doesn't mean that it's legal to carry concealed or otherwise. In most states, a percussion revolver is going to be treated the same legally as a modern pistol if you are carrying it as a weapon.
Likewise, while even the BATFE has said that Federal law doesn't prohibit a felon from possessing a muzzleloader, individual states may have more restrictive laws.
(I am a retired lawyer. I am not your lawyer. If you want legal advice go buy some.)