I have the same thoughts you do about the lack of DNA (if that turns out to be true). However, IMO they were probably not shot and I'll tell you why I think that. There is a radio show called "the Indiana State Police Road Show" which is hosted by an ISP trooper and you can also watch it on youtube. Normally it has public safety info and the like but both Supt. Carter and ISP Chief Information Officer Dave Bursten have been on the show (at different times) to discuss the Delphi murders. When Dave Bursten was on, the host asked him why more info about the cause of death was not released and he gave a spiel about how that helps the winnow out useless tips. If I recall correctly he said (I'm paraphrasing here) "if someone says 'I know who did this because they confessed to me,' then we ask them if they know how the they were killed. And if they say..." (here he paused as if trying to decide on an example) "'he said he shot them two times in the back', then now we know the tip isn't a good one because that doesn't match the actual cause of death." So JMO but he clearly chose his words in this example and I doubt he would brought up a gun if one was actually used to kill them.
Edit to add: I do think a gun could have been used to menace them/make them comply. I just think it wasn't used to kill them. I think he desired a different method for that.
I think he wore gloves.
I noticed something in the timeline which made me wonder about this, marking.
MOO I don't think she was still alive when the phone rang.
But he knew it was time to go then.