What was the thing coming at them when they tried to set the trap?

I think it's most likely that it's some other species that was shipped off to the planet by the predators. In the ensuing chaos it probably thought the humans were the enemy and attacked them.

I guess they didn't care to talk about what "it" was because earlier in the predator camp, they saw the enemy and figured that's just what they look like and that other thing chasing them was unimportant. They just had some bad luck and got the "it" to chase them instead of a predator.

Then when Fishburne showed up they got a better plan (following him, because he seemed to have some know-how) than using one of their own as bait for random things to chase until a predator showed up.

That's my two cents of it.

Fishburne's character shot the creature. It's implicit. She said she missed, then while we're wondering who the shooter is, he shows up.

Also, re: the creature, they said something like "it's one of the things from the cages." I think I may have missed that scene from earlier in the movie, but I assume they're depicted earlier.

They mentioned what it was. It was the creature that came out of the crate they encountered earlier. They surmised it attacked them because it most likely thought they brought the creature to the planet when actually it was just another type of creature they like to hunt.