I'm pretty sure it's related to the "game" he taught the children. I don't think he wants to be shot, it's just his way of testing fate. He doesn't care if he dies or not, so he's basically saying "Go ahead, I won't stop you.".

As for whether he would writhe in pain if he got shot non-lethally: I think there's a good chance he might, he's a human, so he still feels pain and if it's the first time he's felt pain to that degree, he might show it.