First of all, I don't think "getting a gun" is anything overly suspicious. Real-world NY state law would allow her to get one simply by applying for a permit, though inside New York City she'd probably be breaking the law by carrying it in her purse. But that assumes that MCU's New York has the same gun laws as real-world New York, which may not be true.
Beyond that, though, she's a relatively wealthy and important single woman who lives or works in / around Hell's Kitchen. She's probably carried a handgun around for a very long time. Deciding to bring it to her dinner date is, as you say, most likely just a reaction to their previous one.
(Choosing to surrender it to Fisk simply showed that she no longer felt like she needed to have it, or at least, that she didn't think it would be of any use to her as long as Fisk was around. I'd wager she got it back at the end of the date.)
But, it is strongly implied that she knows more about Fisk than she lets on. She picked up very quickly, from a single encounter, that he's a dangerous person with dangerous acquaintances. While she may not have pegged him as Kingpin right away, she certainly knew that he was more than he seemed.
Over the course of the season Fisk reveals everything about his "business" to her and at no point does she act shocked or surprised. She falls very quickly into helping and supporting him in what he does, even as it gets very out of control. (In the source comics, she's a pretty ruthless character in her own right, which seems to be the direction she's heading in the MCU).