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
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"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
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because the case was over. If Rust went snooping around in '95 he would've gotten suspended same as he did in '02.
Fred.