All of the Denver rental cars are about a mile away from the terminal. There is a Conoco right there next to the rental agencies. It's maybe 10-20 cents per gallon more expensive than other stations, but it's not like one of those LAX or MCO stations that just kills you. If you have time, gas up before getting onto Pena. If not, use the Conoco.

With no bags to check and a BP already printed, just exit the rental car shuttle the minute it reaches the first UA stop. Stay on the lower level of the terminal...move through the baggage area to the center of the building.

There will be a security line there: elite security generally isn't too bad. DEN regulars might be able to provide more information about when the north end of the airport has security checkpoints open or whether it's any faster. I've never had a problem at that south end checkpoint.

Anyway, you definitely don't need to remain on the rental car bus until the driver calls out WN.