They close with Anthem whenever they play in Japan, because they love that song over there.
As for no Gunshot, the reason it's not there is because When All Light Dies is. Matt said they wanted to play When All Light Dies at Mayhem, and in order to do so Gunshot would have to be cut out. Rain is there because their intro is the first two tracks from Ascendancy.
IMO, Ascendancy is the best album, followed closely by Ember to Inferno and then Shogun. The Crusade is way last, and I'm glad they're ignoring it. A perfect setlist for their fall headlining tours would be some of the songs on Shogun we haven't heard yet, something off Ember they haven't played in a very long time (like My Hatred or Falling to Grey for instance), and then a boatload of Ascendancy songs. It wouldn't bother me if Becoming the Dragon or Anthem was thrown in just to cover all the albums, but if more than one song off The Crusade is played I'll be sorely disappointed.