I wonder if David suggesting that Steelheart was the only person unafraid was a misdirect. During the final confrontation between Steelheart and David, David has a revelation about Steelneart's weakness. "An awareness opened my mind, like the burning radiance of the sun itself. I knew. I understood." It doesn't explicitly say, but from the context, I wonder if David, knowing he is going to die, loses his fear of Steelheart.
David goes on to say that he killed Steelheart. David used the blocked gun barrel as the delivery system to kill Steelheart. "I've seen him die in an inferno, and I was the one who killed him. Yes, the hand that pushed the detonator was his own, but I don't care - and have never cared - which hand actually took his life. I made it happen. I've got his skull to prove it."
David's father, unafraid of Steelheart, fires the bullet that harms Steelheart. David, unafraid knowing he is going to die, blocks the barrel using the gun as the delivery system to kill Steelheart.