I kinda got that was the point. You the viewer, are like both Scully and Mulder, you want to believe, you even get to see some crazy shyt, but its only you and them, knowing the truth that no one would believe. Even when there's proof, its more about dealing with them finding out that the supernatural exist, but never enough if any, evidence of it happening. You keep the secret(s) with them, and that's what made it fun. They already know shyt is out there, they just know they can't tell anyone, not even the FBI.