I guess the time movement has messed up the “healing powers” of the island for Locke. That’s the only explanation I can think of for why he didn’t heal after Ethan shot him.
The healing thing usually takes some time. It hasn't been instantaneous, just much much faster than normal healing.
Did anyone notice that when Jack asked Ben if Locke was really dead, Ben never answered and just gave him “the look”? (You know, the I'm a lying ba$tard, not to be trusted unless we have the same goals, but I am never entirely honest about all of my goals, so therefore can actually never be trusted look.)