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if Robert was born in Mull but grew up in Dumfries, would that explain why his census lists his place of birth as Dumfries, or were the registrars pretty thorough at the time?
It might, if he had moved from Mull to Dumfries before he was old enough to remember, and his parents had never told him that he was born in Mull.
The census enumerators basically recorded what people told them, and as far as I know they had no way of checking that people were telling them the truth.
Never believe anything you find online, and especially do not trust trees submitted to commercial web sites like Ancestry, MyHeritage, FindMyPast, Geni and many others.
There are five baptisms of Robert M(a)cLeans with mother J*n*t* between 1810 and 1820, none in either Argyll or Dumfries-shire. See screenshot.
There is one record of a baptism of a Robert M(a)cLean with father Richard but no mother's name, in the parish of Dumfries, though as you have done I note that there are several baptisms around that time to Richard M(c)cLean and Ann(e) Wood.
Have you considered the possibility that whoever registered Robert's death got his mother's name wrong? Is there any other evidence to confirm that the Robert M who died in 1939 was the son of Richard M and Anne Wood?
If it assists, Robert's descendants all married in the established church, so it is more unlikely that any information would be found for him in non-conformist records.
The term non-conformist refers, strictly speaking, to those
in England who did not conform to the Church of England. It is not relevant in Scotland. From the point of view of the C of E, everyone in Scotland belonged to a non-conforming denomination except the members of the Scottish Episcopal Church. This last was, however, fairly minor in term of numbers.
No other denominations than the Church of Scotland are Mentioned in the
Statistical Account of Dumfries, written in 1793. The
New Statistical Account (1845) mentions eight dissenting places of worship in the parish, and estimates that the total number of individuals attending worship in one or other of these was about 700, including many families from outwith the parish itself, compared to 1000 families attending the Church of Scotland.
As far as I can see, the only other surviving and readily available baptism register for Dumfries is the Buccleuch Street Associate, which has no records earlier than 1846.
Donald and Janet married around 1798 in Greenock (verified in Records). In this account, Robert was born in 1804 in Mull (verified in Records, though not sure if it is the same Robert).
In what 'Records' have you verified this information? And, if the census gives his age as consistent with being born 1810 to 1820, 1804 seems rather inconsistent.