Indeed, that was such a bummer. If this wasn't taken from a novel, I'd think they wrote the killer to be mysterious and then at the end said "screw it, why bother with an explanation, it'll remain a mystery".
Anyway - this was yet again a case of the bad guys chasing the unseen and unknown killer. Lt. Columbo reverted the genre but still we knew who the culprit was, and who the guy chasing the culprit and how (Columbo himself of course).
Has there ever been a situation where you see the point of view of the killer, but you don't see the police? I wonder if it could be translated well into a movie or a TV series a story from the point of view of a killer, but where you don't see all the brainstorming the police does and how the traps are laid.
Imagine The Alienist as seen from the point of view of the killer: we see him chasing his victims, we see him hooking up with Stevie NOT knowing until it's revealed that he's a decoy, we see him preparing to kill Joseph NOT knowing the good guys are onto him. Maybe it's a wacky storytelling device but I would like to see it explored
(there could also be a voiceover like Dexter to allow the audience to better understand how the killer is trying to avoid being caught, and maybe confuse the police investigation)