why would dalton ask wade garrett if he'd heard of brad wesley?

Dalton was not only asking for Wade's help (without directly doing so) but checking to make sure Wesley wasn't a bigger deal than he thought. As others have said he could have been part of a mob family, possibly kicking money up to a boss in Kansas City. If that were the case, than Dalton would have to back off, otherwise Wesley makes one phone call, and reinforcements arrive, and Dalton is at the bottom of a river. Or its possible that Wesley was involved in drugs, which would also mean he has connections to much scarier people than the local thugs that Dalton keeps beating up.

The 7/11, Photomat, and JC Penny statements seem odd, but they're more of a threat than just bragging. It's a small town with a lot of small businesses, Mom and Pop kind of stores. Wesley makes these businesses pay "protection" money to him, the same way mob guys do. When they pay this money, not only does Wesley offer to help them if anybody is bothering their business, but he ensures they are the only one in town offering that service. For example, Red pays his money every week, and Wesley makes sure he's the only auto parts shop store in town. If Red refused to pay, then there's an AutoZone down the street next month.