In Pilot, Max wasn't even aware that his "healing" was a unique power. He thought he was "manipulating molecular structures", a common power to all of them. That's what he told Liz when he's explaining to her what "powers" they have. When he transformed the clay sculpture, he said that's how he had healed her.
Many fans theorized that they could all heal to an extent, like how we can all draw to an extent. Some are really good at it, some aren't, but we can all do it. Tess healed Max's bruise in Ask Not, but couldn't heal her ankle in Four Aliens & A Baby.
We can also assume that Max was unsure and pretty much had zero practice on healing a bullet wound, and so he asked Liz to look at him to form a stronger connection. The same with reversing said connection later on. He had never done that, so he went for every single advantage he could get. As time goes by, they start having flashes by just touching each other, though we can say this could be another kind of connection...
If you are really into finding how many contradictions, plot holes and discrepancies the fans compiled, I could send you the list of CHADs (Continuity Holes and/or Annoying Discrepancies), so you can have a good laugh
Misha
