Won't You Pimai Neighbor? - S4-E18
Continuity mistake: After Bobby takes the first spiritual test, Minh and Kahn come behind Bobby. Looking at Minh's hair and the top of her dress are both very wet. However before this she was completely dry and there was no scene where water was sprayed on her. She stays wet for the rest of the scene probably indicating that there is a scene deleted from the episode as it is far too obvious to be missed.
Won't You Pimai Neighbor? - S4-E18
Continuity mistake: In the scene at the "Get In, Get Out" shop, Connie and Bobby's drinks have each have a bendy straw. When Connie is walking off they have changed to normal straws as you can see the marks of bendy straws have disappeared.
Won't You Pimai Neighbor? - S4-E18
Continuity mistake: At the beginning of the episode, Kahn gives the guys in the alley invitations for his Pimai party. As Dale opens his invitation he places the envelope in front of the invitation he is holding. The next shot they have reversed position with the invitation in front.
Won't You Pimai Neighbor? - S4-E18
Continuity mistake: As Hank and Bobby are leaving the reverend's office, Hank puts his hands on Bobby's shoulders and is at an angle away from the reverend. In the next shot from the reverend's angle we can see he is facing her and the position has changed from the previous shot.
Won't You Pimai Neighbor? - S4-E18
Continuity mistake: When Hank looks at his invitation he reads the writing in it. The next shot you can see the writing on the card as if Hank had turned the card over pointing towards the ground. However there was not enough time between shots for him to have turned it around.
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.