I remember that; it was discussed on FR. I didn't realize that's where his ex-wife was living. There were media reports right after these two were arrested that authorities wanted to find her, then all of a sudden, a total black-out on her. Have you heard more? Maybe the plan was to kill her, but it still seems that he was trying to get caught.
One theory was that one of the victims was his/their real target and the rest of the killings and shootings were cover. It may be that he had not gotten to her yet.
Had she been killed by Mohammed and Malvo, he would've regained custody of the children--remember that he had kidnapped them and took them to Antigua, but after he came back to the states, she, with the help of law enforcement, was able to get the children back. He had even gone so far as to hire a lawyer (one J. Mills, who portrays Mohammed as the victim) to get custody of the kids.