did the thought ever occur to Dell Frye that as his creature he may...

I read an early version of the screenplay for "The First" many years ago. In it, someone in Earl's store pulled out a shotgun and fired, but either missed or didn't wound Frye's creature badly enough to kill him. (I don't remember which.)

I assume the producers had to tone down the violence to be able to air this episode.

Yeah. I think they made pretty clear throughout the episode that, at the very least, Dell had a screw or 2 loose due to being bullied by Brad and the guys at the bar and probably others in the town. And, at worst, Dell may have been homicidal, as Elizabeth confirms at the end of the episode that Dell killed Walt, the driver of the car that breaks down at the beginning of the episode. So, not really sure Dell cared about the possibility of being shot.

To sum up, Dell had anger issues presumably from being bullied too much. Hence, David tried to urge Dell to cure himself.