Continuity mistake: After Hank and Bobby return from La Grunta, Hank parks the car halfway into the garage. Yet when Peggy washes the blood from the deer off the front of the truck, the truck is now on the driveway and not near the garage. (00:20:20)
Continuity mistake: After Hank returns from the permit office and he and Bobby are in the car, Hank has his seat belt on and his hands on the steering wheel. However in the very next shot his seat belt is completely off without moving his hands.
Continuity mistake: When Hank Hill decides to take his son, Bobby, to shoot a deer at a local recreational resort named La Grunta, Hank shows Bobby what is supposedly a La Grunta brochure, but the description at the bottom-right of the brochure states that the text therein is referring to the "Shropshire House Inn & Resort."
Answer: In addition to Brian Katcher's response: it's supposed to be a joke that Dale is always suspicious about conspiracy theories, mysteries, etc, but he is "clueless" about his own wife having an affair. Of course, as Brian wrote, many fans think that Dale is pretending to be clueless because he doesn't want Nancy to leave him.