Right. A former cop, he had spoken to his wife and knew the driver of the red BMW was a suspect in a homicide in Bemidji the night before, he spotted the car and went in to the cabin to check it out, picked up the revolver because he knew the guy was dangerous, and so on. Would it be wrong if he lied about the timing or whether Malvo went for the knife (or a gun, he probably had one on him somewhere)? I say no. Malvo was so dangerous, he was so used to killing people, Gus couldn't give him a chance. He knew, and we know, about that level of danger and malice, but it's difficult to convey it to someone who wasn't directly involved. So, if he lied in the investigation, I say it's justified. After seeing all the evidence, investigators were probably more inclined to look the other way about Gus, anyway, even if they had suspicions about his story.
This is probably what happened. And it not like Gus has never lied before. He deliberately left out shooting his wife a year earlier, even though that's something he should have written in his report. Malvo was just too dangerous to be arrested. He managed to weasel himself out of it before, plus he had threatened to kill his family multiple times. A little lie and killing him would make sense for Gus.