Continuity mistake: When Lt. Briggs is being interviewed after the swimming pool massacre, we see a close up of Briggs and there is a man with a moustache next to him. But when we cut to the next shot where Briggs is on television at Carol McCoy's house, the man with a moustache has suddenly disappeared.
Continuity mistake: After one of the cars escapes from Palancio's hideout, we get a view from the driver's seat and Harry fires a bullet into the windscreen and the car is heading directly for an office. In the next scene, the car is much further away from the office than it was in the previous shot.
Answer: Because Davis and Sweet demonstrated keen interest, skill and knowledge of firearms (particularly of Harry's .44 Magnum) when they first met. They were flattering Harry, probably in anticipation of inviting him to join their death squad. Harry was impressed and asked for them specifically, even though they were rookies, but he didn't suspect them of being the vigilante killers at that point.
Charles Austin Miller
Yes, he did suspect them. In fact, he suspected Davis from the moment he found out that Davis was the one who reported Charlie McCoy's death. He confirmed his suspicion about Davis after he compared similarities between bullet that killed one of the victims and the one he purposely misfired from Davis' revolver during shooting competition and retrieved it afterwards. He explained it all to Early Smith right after raid on Palancio (and thus unwittingly sealed his partner's fate).