Wouldn't several cannon shots through the ballon brought it down slowly over Montana where it could have been completely recovered and not after it gathered intelligence?

Pure speculation - a one second burst of 20mm would be about 100 rounds, maybe a balloon wouldn't be a substantial enough target to detonate the rounds, and maybe they didn't want 100 or so live explosive/incendiary rounds coming down on friendly territory.

Apparently the balloons did have enough return to detonate the Sidewinder's proximity fuse.

Or maybe default is "missiles first"?

Again - pure speculation.

A laser might have been useful.

We think the same, with the military gps ability there is no reason for them to not know where the 20mm bullets will end up on the ground...mb