You did exactly what you should have done.
Believe me, I would have been mighty tempted to go down there and set the guy straight, too, but not knowing what started this, you are FAR better off not getting involved. I don't know how the law works in your state, but in Ohio, you can only shoot to defend someone who would have been legally entitled to defend themselves. If either party escalates the situation, there is no such thing as a good shoot. You couldn't have known if she would have been in the right to shoot this guy or not so you cannot know if you're OK either.
I know you know this, but I post this in the hopes it helps someone else out in the future.
Do not get involved unless you HAVE to.
Yeah, the guy DESERVES to get shot, but what he "deserves" won't keep you out of court or jail. Look after you and yours first and foremost. Neither the law, nor anyone else will do it for you. "Right" doesn't cut it in the eyes of the law and many of us would do well to keep that in mind. Until some laws change, being a good witness is a good policy.