Nah, they wouldn't, because Rust/Marty were operating under the assumption that it was Reggie Ledoux alone. At no point prior to the guy freaking out in the cell shouting
"THE YELLOW KING" did Rust entertain the thought of it being a conspiracy.
A serial killer is rare. A cult? That's like a unicorn man. Reggie died, his boy got blew up, and the killing stopped. He might've asked to talk to her back then and his bosses told him
because the case was over. If Rust went snooping around in '95 he would've gotten suspended same as he did in '02.
Fred.