Subordinate clauses and conjunctions

'A wise enough fellow, then how come he behaved so stupidly? Is it correct to conclude that 'How come he behaved so stupidly?' , of and by itself, is a a grammatically correct sentence, but that the same sentence only with 'That' as the headword would not (e.g. Then how come he behaved so stupidly?) be considered a grammatically correct sentence. Alternatively, would 'Then how come he behaved so stupidly' be OK if a comma was insteted immediately after Then (as in Then,...stupidly?) More specifically, when with short sentences beginning with a conjunction (But, And, etc) is a commma essential after the conjunction and before the bona fide sentence following (e.g. 'But, I don't know.' as opposed to 'But I don't know (without the comma). I'm sorry to go on, but it's a small point that I need to have hammered home to me - so to round off, is 'A wise enough fellow, then, how come he behaved so stupidly?' correct ( I know 'then' is an adverb and not a conjunction, but I'm thinking the same rule applies to 'then' and would be applied to a conjunction)? I'm sorry if it goes on a bit, but what can you do sometimes?