Why would any other shopkeeper want to kill you? There's no possible way they could have heard about your murderous rampage.
They are part of a guild of shopkeepers, and they just know.
If shopkeepers are currently in "shoot on sight" mode, every shop has a Wanted Poster with the Spelunker's face. Word gets around.
Why are the Damsels so grateful when you take them one level deeper into the cave? It just doesn't seem like a very helpful thing to do for a non-Spelunker in distress.
Perhaps there's some sort of Damsel-escape route in the little passage between levels. Like a fixed teleporter linked back to the title screen or something. Unless the Damsels just hit the suicide button and get warped back out or something.
Maybe they are using the shortcuts that Tunnel Man opens.