He just missed, with the bullet, that's all. The shark's brain isn't very large, and it's probably further back from where he was aiming.
All fish have both emotions and the capacity for pain--they're really some of the most horribly treated vertebrates on the planet. What people find socially acceptable isn't always logical. It's also not necessarily that easy to dispatch a shark. Cold-blooded animals can take a long time to die.