Neff Wants to (SPOILER)?

So, he wants to get caught? Neff has almost the perfect way out, with Zachetti taking the fall, and instead he goes to tell Phyllis about it, get himself shot, and let Zachetti off the hook? Doesn't that seem odd?

Plus, is this the first time ever, on film and in reality, that someone is so badly wounded to the point of incapacitation, by a shot to the shoulder?