As you said, Dennis is ostensibly a psychopath and sociopath. One of the main forms of satire that the show has used is to mock the manner in which most formulaic sitcoms have progressed from season to season, where the cast and characters become more and more beautiful and interesting and one-note. For example, with Seinfeld, you can see Kramer's progression from a kooky neighbor into a full-fledged cartoon character. In "Friends", we see every character slowly whittle away their dimensionality to become singular archetypes: Joey the idiot, Chandler the sarcastic wimp, Ross the "girly" weirdo, Rachel the ditsy lady, Phoebe the lovable hippie with the dark past, and Monica the hyper-neurotic.
Rob McElhenney has pointed this out in interviews and said that this was one of the major motivation for his "Fat Mac" transformation, in that instead of all the actors becoming more "beautiful" over the years as they get paid more and more with the success of their show, he wanted to go all out and unhealthily gain an extreme amount of weight in a short period of time. And his weight gain is even more ridiculously explained throughout the show.
So, in terms of this intense and pervasive satirical approach to the characters, two of the underlying aspects that have finally started to come to the surface more intensely are Mac's homosexuality and Dennis' sociopathy and psychopathy. In "The Gang Gets Stranded in the Woods" (S06E11), there's a great exchange between Charlie and Dennis as summarized from the wiki:
While walking with Charlie in the woods, Dennis refers to himself as a "pretty methodical person". Charlie responds with "Oh yeah, like a serial killer", which Dennis takes as a compliment.
This is just as you mentioned in your question.
So, in terms of Dennis' Jackie Denardo fantasy, it first speaks to his practicality and rationality. Dennis is definitely the most reasonable of the gang. Clearly it makes sense that if he jumped out to save the day, he'd probably be shot. But, in terms of intense narcissism and sociopathy, of course to him it seems reasonable that he'd rationally be shot, but he'd be narcissistically still able to survive a gunshot to the head, and as a fantasy he'd "luck out" and have his "dream girl" Jackie Denardo as his nurse.
The rehabilitation scene is a standard, ridiculous montage to the point where he is performing olympian-level acrobatics. And then while roller-blading together he lets go of her hand to reach out and declare his love, but accidently launches her into oncoming traffic and "obliterating" her breasts -- the apparently sole reason why he is so infatuated with her.
Again, as part of his intensely absurd narcissism and psychopathy, it's not about sleeping with her, it's all about him surviving a gunshot to the head, becoming an even more agile and amazing version of himself, being doted on by his "dream girl" who actually outright rejected him in real life and called him a creep, only to then have his innate "serial killer"-like psychopathy take over the narrative and have her be pointlessly and horrifically maimed. And now, without her breasts, to his insane sociopathy her life is now entirely pointless, so in a sadistic form of narcissistic sympathy -- because this saves him from any obligation to care for her -- he suffocates her with a pillow to "put her out of her misery". Though really, it is to "put her out of his misery".
Leaving the fantasy and coming back to reality, Dennis is visibly shaken and confused by how his fantasy turned out, but he also quickly accepts it and seems to brush it off as acceptable.
While he is the most "reasonable" and "rational" of the group, he does make bizarre and insane leaps, and he often twists otherwise banal situations into random extremes. He has the DENNIS system of completely deranged and misogynistic emotional manipulation instead of simply going on a date with someone. He has his "tools" in his car for "weird sex shit", as we see at their High School reunion. And when the gang kept going back to the same lawyer and refusing to pay for any of his services, after learning that his wife had asked him to move out the house, Dennis offers to "lay a 'frame' bang on her", which is ostensibly an offer to rape the lawyer's wife while she's asleep and then claim that she cheated on him, so he could move back home. The absurdity being that Dennis sees that absolutely horrific scenario as a perfectly reasonable solution to what was already a banal situation.
So the bizarre lack of rationale and context for the circumstance of his Jackie Denardo fantasy are not only a continuation of his psychopathic characterization, but also it shows that even he is surprised at how it all turned out. Pointing out just how aloof and unaware he is of his intensity and insanity. Looking ahead you can compare these irrational fantasies as similar to his rationale for the choices made in trying to "become" Brian LeFevre in the "Frank's Back In Business" episode, where he almost goes so far as to be prepared to have sex with a young man -- because he thought that's what Brian LeFevre was in to -- but who turns out to be a golf caddy who was just changing his shirt.