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So as I understand, the word mōnstrum, which used to mean "omen", came from moneō, which means "to warn" and then later the use of mōnstrum expanded to include not just omens, but any monstrous or scary creatures, not necessarily indicating misfortune. That is already intriguing to me, because in a way these seem like opposite uses - an omen itself is not something to be afraid of, but rather the thing that it portends (as opposed to a monster, which doesn't portend a misfortune, but in itself is the thing one should be afraid of).

But coming back to the point, according to wiktionary, mōnstrō, which means "to show, point out" came from mōnstrum +‎ -ō. Well, "pointing out" is very neutral and certainly doesn't imply that one might be pointing out to a monster, so the only explanation I can think of is that mōnstrō used to be used in a context of pointing out to a danger and then "softened" to mean simply pointing out to anything.

That however means that before the meaning expanded there was not much difference between mōnstrō and moneō and we've made a full circle:

moneō - to warn -> mōnstrum - a thing to be wary of -> mōnstrō to warn (by pointing out?)

Latin didn't develop in caveman times, so was warning against scary creatures so important, that the verb "to point out" evolved from it?

I'm kind of lost here, so thank you for help!

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A number of dictionaries suggest that in Classical Latin, the register of the verb mōnstrō was not as neutral as the translation "to point out" would suggest: it seems to not be used in Caesar or Sallust and to be uncommon in Cicero, suggesting that it may have originally been a part of familiar language rather than a formal word. (See Lewis and Short, also Ernout and Meillet). (Although Caesar does seem to use dēmōnstrō quite a few times.)

I would guess the sense development was most likely along the lines of moneō "to warn" > mōnstrum "an omen, a warning sign, a portent" > mōnstrō "to warn, to point out".

Saying "a monster ... doesn't portend a misfortune" isn't quite accurate in regard to the ancient Roman viewpoint of the world. There was a widespread superstition in Roman religion that fantastic or abnormal living beings could be an omen (often interpreted as a sign of misfortune). This seems to have been based on the notion that the gods would use violations of the natural order as a means of gaining the attention of men. See monstrum and prodigium in Wikipedia's Glossary of ancient Roman religion. It seems likely to me that it is because physical abnormalities were viewed as a sign that the word mōnstrum, which etymologically meant something like "sign", "warning" or "portent", came to be applied to beings perceived as either physically or metaphorically fantastic, malformed, or unnatural.

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I think the origins make more sense if you don't restrict the meaning. If you check Lewis and Short, you'll see that monstro means:

to show, point out, to indicate, intimate, inform, advise, teach, instruct, tell any thing

More to the point, the OLD has to expound, reveal, make known. The logic of the development is honing in on the action of revealing/pointing out the future (via a portent) rather than on how bad a portent is. Portents point to something, good or bad, and the non-negative coloring of prodigium is attested, even if it grew rarer. That's why monstro can lose the original sense of "pointing out something bad" and become a generic word for "to point out."

Concerning your question about monsters, a monstrum is any sort of prodigy or omen, including such monstrosities as two-headed calves, which were seen as prodigies since Babylonian times. Their deformed and perhaps frightening look is why the word came to describe any sort of monster.

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