Danko had his own gun out at the time. H.R.G. isn't indestructible.
Danko turned his back on HRG to look out the window. HRG could have capped him really easily. Danko has Plot Immunity, so it was HRG's turn (again) to carry the Idiot Ball.
Your question was already answered before you asked it. Peter did show up with a gun to assassinate him. Then he realized A) not everyone's cut out to commit cold-blooded murder just because it can be rationalized as payback, and B) killing Danko accomplishing absolutely nothing useful--soldiers like him are a dime a dozen. Dead, Danko would just wind up being a martyr that validates the pre-emptive strike.
Yes, Peter isn't a killer; nor is Hiro, Ando, or several others. HRG is, though; Angela is; the Haitian doesn't seem terribly concerned about the lives of folks trying to kill him. There are plenty of people who are qualified to gank Danko.
And Danko's indicated most of the folks on the project are "his people", so if he's gone, morale goes in the tank and they're a lot less capable (especially given the number of goons Tracy took out). And it leaves a clear path for Nathan/HRG/Angela to take over the program completely, and do something less un-American and murderous with it.
Oh, and they don't make it freaking obvious that a powered person killed Danko. Disappear his ass, and let people wonder. Drop his corpse off in Angola (or wherever it was he committed the atrocities Angela alluded to), and make everyone wonder if someone there didn't have him offed. Provide reasonable doubt about his death; not that many people know about powers, after all.
The last episode had some good moments, but there was too much Idiot Ball bouncing around still for me to feel like it's good again. At least I didn't remo
Good stuff, IMO: Hiro getting his powers back (though they gave him time stop back? I'd think teleport would've been less plot-breaking; half the show's problem is that they've given their characters powers that ought to let them handle situations easily, so then they make the characters stupid to compensate). Daphne dying -- sad, but probably good for the show (there are too many characters, and not enough time for character development & not enough plot to go around). The scenes with Matt and Daphne were great, especially the last one.
Mycah is Rebel (so obvious, I was suspecting it might be too obvious), and he was
smart and used his powers effectively -- yay! More that, writers of Heroes! Competency! Tracy apparently killed a whole lot of guys (I assume they were dead, anyways) -- more heroic action! Awesome. Too bad Danko apparently has an endless supply of soldiers. (And I'll be shocked if Tracy's actually dead -- that icy blink makes me think she just needs to get herself together.)
Bad: Danko. More government Gestapo goons snatching innocent women out of their homes, and nobody doing much about it, or even showing much concern. The next episode previews were kind of unpromising, too -- Danko and Sylar team up? I guess they're going to play catch with the Idiot Ball, 'cause Danko's an idiot if he thinks he can trust or control Sylar, and Sylar's an idiot if he teams up any longer than it takes to get into the Big Room of Power Happy Meals (aka the containment room). If Sylar went after Danko's hunters, they would die rapidly, or Sylar would have to carry a whole bag of Idiot Balls; so, they have to have the Bad Guys team up, even if they ought to hate each other the most.