Most of your objections are predicated on the knowledge that Lester is a pussy, so they only need one guy in the cell to intimidate him, or worse. You know that, and I know that, but they don’t. They were arguing in the diner about whether they were sure Lester killed Hess. After Lester’s stunt on the frozen lake, I don’t think there’s any question in their minds that he did it.
From their point of view, Lester has:
a) killed his wife with a blunt object
b) killed Hess (who was a big burly guy) with a knife
c) gotten away clean with both murders
d) seduced Hess’s wife, who so far is the hottest woman in town
e) rendered Mr. Numbers unconscious
f) and then escaped them by assaulting a cop.
And though they didn’t say it explicitly, if they think he killed his wife, then they must think he also killed the chief.
From that perspective, Lester looks like a very dangerous man. He’s killed up to three people, and is evidently good enough to do it without a gun. He assaulted a cop in front of their eyes, not to mention knocking Mr. Numbers out, again from very close range. For all they know, Lester’s meek persona is an act, just like Malvo pulled in Duluth. Physically, Malvo is no more imposing than Lester. They have probably met Malvo types before, and they now have reason to believe that Lester is one of them.
That said, you’re right, they could have done it differently. But this is a quirky show, with quirky characters, and IMO staging a fight to break into jail seems like par for the course for this show. It was the most fun way for them to do it, and they either knew or assumed that a town that small would just have one big cell for pretrial detainees.
The argument in the diner ended with them in agreement. The fight in the bar had no discernible reason, and there wasn’t a mark on either one of them afterward, in a show that goes out of its way to show the results of physical trauma.