I would say the lessons are don't snoop, you'll find out things you didn't want to know, and judge people by how they treat you and not by particular things you might find out about them by whatever means, unless those things go to underlying character. Guns in the US do not do that (although in Australia they would be far more of a red flag as they would be illegal). Whether you should have left is a moot point, you were unnerved and you left, you can't change that. (Nor can you change the fact that on this occasion you snooped.)
As to the future, you know what not to do on at least one count. Should you see him again? I would say yes but would understand if you decided not to. You can't unknow what you now know. Bear in mind that you won't know if any future companion is packing, but you will know that although he was, on balance things went well. He checked up on you after all. But I wouldn't mention what you knew unless and until your business relationship was otherwise solid, and maybe not even then.