I've been scratching my head on that one also...
Dumbfounded is the word I use when realizing they didn't follow thatup especially after the couple was assaulted.
Tin foil moment - did he have a reason to go to Lenox, perhaps to kill the agent? Every action he took in the courthouse after the initial assault of the tiny female deputy was to kill the judge, not simply escape. Once he got out of downtown you would think he would be long gone, not spend the rest of the day trolling Lenox. The guy seemed at times to have a particular agenda, not just random killing and running.
Even more tinfoil - does not this guy's profile fit the assassin/patsy mold? Strong physically, good with a gun, intelligent, but anti-authoritarian with a screw loose. A lot of what he did was very mechanical.