[Kalimac]

One thing to remember is that Gandalf merely says that Gollum has "a part to play" before the end - Gandalf himself is fuzzy on the details and does not necessarily know if Gollum's part will be to be the final factor in destroying the Ring or delivering it up to Sauron. He just doesn't know what sort of part exactly, any more than the rest of the Fellowship does.

As for being anxious when hearing that Frodo and Gollum have met - well, like before, he doesn't know if this is ultimately going to lead to salvation or disaster; all he knows is that it's going to lead to SOMETHING, which, knowing Gollum, will probably be an unpleasant process whatever the end result. Gandalf probably feels at that point much like a father whose son is, say, traveling on his own for the first time; he knows that it's what the boy prefers to do, knows it's time for it to happen, but at the same time can't help being (very rightly) anxious over what might happen to him, after all, Gollum is the ultimate stranger met while traveling, and he'd be anxious that his "son" wasn't being careful enough.

As for how he would have treated Gollum - probably much the same as Frodo, but with a far more cowing effect; Gandalf can produce spells and effects that would probably knock the fear of Eru into Gollum for a good while. This might not be altogether a good thing, though, since it might have led to Gollum running away from them very early, and before he had guided them through the Emyn Muil. It's hard to see him betraying the company to Shelob in the hopes of getting the Ring, though - he would never want to come to grips with Gandalf over the Ring if Frodo were stung by Shelob, and also there was far too much risk that Gandalf would have heard of Torech Ungol and refused to let them go near the place, thus forcing Gollum to think of another plan. Just my 2.5 cents.