Danger signal -- Capone has gun around! (4,5)
I believe the answer is:
fire alarm
'danger signal' is the definition.
'fire alarm' can be an answer for 'signal' (fire alarm is a kind of signal). I am not certain of the 'danger' bit.
'capone has gun around' is the wordplay.
I cannot quite see how this works, but
'capone' could be 'al' (gangster Al Capone) and 'al' is present in the answer.
'gun' could be 'firearm' (firearm is a kind of gun) and 'firearm' is found in the remaining letters.
No letters remain.
This may be the basis of the clue (or it may be nonsense).
Can you help me to learn more?
(Other definitions for fire alarm that I've seen before include "Safety device" , "Warning sound" , "Warning of conflagration" , "Warner" , "It warns of smoke and flames" .)