Salt Lake City police are investigating the roles of two self-described "peacekeepers" following a fatal shooting at Saturday's protest that left one person dead and another injured, raising questions about unauthorized security at public demonstrations.

In a city notorious for unruly crowds at large sporting events, protesters were peaceful and law-abiding — as were the police.

Detectives don’t yet know why the alleged rifleman pulled out a weapon or ran from the peacekeepers, but they charged him with murder and accused him of creating the dangerous situation that led to A...