Continuity mistake: After the dolphin encounter, Hank has water dripping his face. In the very next shot when the camera guy is talking to him and Luanne, the water suddenly stops dripping. The shots were too quick for it to stop that suddenly.
Continuity mistake: Whilst Hank is in the hardware store, there is a clock behind the clerk on the shelf. It changes from 7pm to 5pm between the later shots in the scene.
Continuity mistake: As Bobby is complaining about the capers, we can see there is almost a full jar of them. After Luanne shows the old clothes she is wearing to work, the jar is near empty. Later in the scene the jar returns to near full again.
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.