In the childhood flashback when Shawn is challenged to name a famous fireman he says Smokey the Bear. Henry tells Shawn that Smokey is not real. Though Smokey Bear (aka Smokey the Bear) was originally created as an awareness campaign in the 1940s, a real bear cub was saved from a wildfire in 1950, named Smokey Bear, and lived out his life in the National Zoo in Washington DC. The real bear acted as the "living mascot" to the US Forest Service.
The sprinkler goes off in the fireman's office when Gus is in there looking for evidence. Sprinklers are activated by heat, and since there was no fire, it would not have turned on.
When Shawn and Gus set off the fire alarm so that they can browse documents on a computer the alarm is still sounding but when they start to talk the sound of the alarm is gone then when they finish talking the alarm continues the sound.
There's no reason the arsonist would attempt to burn the building near the bird sanctuary, as the person he tried to kill there escaped, meaning there would be no body in the wall needing to be covered up.