How do you run investigation games?

[Thrudd]

Yes - I totally agree. Once the red herring is followed up on it should (unlike some mystery novels) be freakishly obvious that they're not it.

Though of note - 'the crimes continue' thing can be turned on its head if it turns out that the orc butler was in cahoots with Baron Greyfellow all along! (making them not a red herring at all)

Yes, that follows the convention of "the guy we thought was the mastermind was just the henchman! We haven't prevented anything!"