Plot hole: When Scully enters the game room after the game has shut off and the Lone Gunman are there but Mulder is missing. She is told that the only way in/out is from the door she came in. Later we find out that the bay that players use to enter the game is at the other end of the room and not conected to the door Scully used. So how did Mulder and Scully enter the game from the bay when the game was running?
Plot hole: The subject of the stakeout - the religious man dressed as a female prostitute to 'put the other prostitutes at ease' before trying to 'save' them - is shown when Scully is on the phone telling Mulder about it; the man has a very masculine face, a hairy stomach and is in no way convincing. It's extremely unlikely that such an obvious cross-dressed male would fool such a large amount of people.
Answer: As he stated many times throughout the series, Mulder needed Scully to be sober and skeptical. Whenever Scully's skepticism wavered and she started questioning her own rationality, Mulder would try to restore her sense of skepticism, because he needed her to be clear-thinking.
Charles Austin Miller