My theory is, the "Mistfiend" isn't from the Nevernever, but is a very-minor Outsider, primarily dangerous because of all the Mordite... which is a substance native to the Outside (so, no: I doubt a Mordite Bullet would affect an Outsider).
IIRC Jim retconned the Mistfiend's nature in one of the later books where Harry was reflecting on the events of TC, to say Peabody explicitly let loose an Outsider to kill all those wizards.
Mordite being the substance of the Outside, I doubt it would be effective against Outsiders. Harry would probably have to use Soulfire to craft anything that would be bane to them by virtue of being made of a Starborn, and then the massive liabilities of having pieces of your soul floating around that others can take and use against you would probably overwhelm the utility.
I'd bet he probably could enchant a bullet to spread Winter cold throughout a body as soon as it contacted blood, but any target whose magical defenses he can't overwhelm with the Infriga spell anyway - at much less effort - is probably going to be good enough with shields, veils and kinetic speed boosts that the chances of getting a bullet into them are remote anyway.
