I think there's also a level of, like:
Dad shows gun = "If you hurt her, I will kill you."
Boyfriend shows gun as well = "I also suspect you of being capable of hurting her and anticipate having to defend her."
And "hurt" in a dating context (or at least this specific gun related one) usually just means heartbreak, but "hurt" in a father/daughter context would more often be abuse.
So there's an implicit accusation he could read into it that turns the conversation into:
Dad: I think this relationship might not work out, and you will hurt my daughter's feelings.
Boyfriend: Well, I think you are physically harming your daughter, and brought this gun to show you I mean to rescue her.
Dad: How dare you! At least accuse me outright, for such a strong claim as this.
Boyfriend: I shall never say it outright, and therefore you have no evidence against me to use to kick me out right now.
Dad: So you plan to play ignorant if I bring your accusations to my daughter, and make me look crazy?