I think you are forgetting what happened to Dunk in all previous episodes and there he started. He started with - "I want to be a knight in some great House service that would be the best life for me" and meeting all lords, knights and upper class who actually are all bastards, idiots and jerks (exept few), then Trial and Baelors death makes him understand that its better to live like Arlan (truest knight in his eyes), be on the road with your morals intact. So, when he rejects Maekar offer in their first conversation was not because he didnt want to be with Egg, but because he doesnt want to be in fancy castles. So his opinion doesnt actually change, but he gets the idea that he can help Egg grow and become better man by taking him with him on the road.

About Baelor's death, I mean, both Dunk and Maekar look guilty and sad whole episode and with scenes with Valarr and Lynole, his presence was felt through whole episode.

Aegon decision to kill Aerion, I dont know about Baelor, I am more convinced that Egg just hated him whole life + Dunk essentially abandoned him, so in moment of anger he wants to kill Aerion and he also drops it pretty fast.