Y’all should go back and watch the first episode again. They’re being pretty deliberate in what they’re doing – setting it up as a child abuse “cult” of the rich and powerful that Rust discovers and (assuming, based on the foreshadowing so far) will probably be martyred for. And if I’m reading the tea leaves correctly, Rust will probably be martyred trying to save Marty’s family, but that’s more a random ass guess.
Anyway, 20 minutes into the first episode, Marty gives a debriefing of the murder they just caught (the antler woman) to his boss, and his boss is genuinely shocked – the boss is not part of any conspiracy. However, whenever Marty leaves the office, there’s this high-ranking police officer that looks pissed and he pushes his way into the office, shutting the door – this guy represents, what Rust calls in EP5, a “company man.” Marty even mentions what a dick this guy is.
When Marty gives a press conference on what they found the next day, the same police officer is off to the side, and the show goes out of the way to show him giving a death stare to Marty.
And then, when that preacher stops by the office, as part of that “special task force,” that same police officer is with him, and he actually “pulls rank” to shut Rust up.
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Also in the first episode the whole “missing child made in error” thing was brought up. It starts off innocently, Rust merely had a hunch that maybe a child in the area could have been connected, just based on circumstance. When he pulls the record and it comes back “made in error” – along with nobody having a satisfactory reason how a child went missing, was never heard from again, but was considered “found” – he gets more curious and looks into it further, and it soon becomes this thread that unravels everything. This is where the scene in the 5th episode comes from, when he’s pulling up all the missing child records and they’re all coming back “made in error.” He’s starting to realize there might be a huge conspiracy underway.
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The show is also going out of its way to show Marty and Rust are not involved in anyway. Rust definitely knows there’s a conspiracy, and he definitely knows he’s being investigated. Go back and watch the interrogation scenes again, based on knowing there’s a conspiracy. They’re brilliant, everything he says reads in several different ways – sometimes he’s finding out how much they know, sometimes he’s finding out how much they’re connected, and other times he’s playing with the audience and philosophizing about how we’re watching the show and how it relates to what he’s doing as a character (the whole “flat world” thing from the last episode.)
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Finally, the martyr thing. Again in the first episode, he says he has a cross above his bed because he likes meditating on “allowing your own crucifixion.” It’s the perfect ending – Rust becoming a martyr for this cause, of unveiling this vast, evil conspiracy. Fits into his philosophical mindset perfectly. I don’t know of any other way this season could end.