Since guns were a new thing for them, how would they treat any Native who was shot? Would the bullet remain? Or were they smart enough to remove the bullet?
You haven't specified a time or region in your question. Remember that European-American contact exploded quickly post-Columbus. By 1700 even the most remote of North American peoples would at least "know about" firearms, even if they didn't know how to make guns/powder/shot. They would definitely be aware of the existence of the bullet.