Let's Give the Boy a Hand - S1-E4
Factual error: When Dexter and Doakes are looking at the severed foot wearing a soccer cleat, Dexter states, "The foot was severed between the tarsus and the metatarsus." However, the foot was severed proximal to the tarsus, through the tibia and fibula. The cut was easily too high to be between the tarsus and metatarsus. (00:16:45)
Let's Give the Boy a Hand - S1-E4
Continuity mistake: A photograph of a landfill is shown from when Dexter is a child, but when Dexter goes to visit the location of the former landfill, an old church can be seen in the background. This church likely predates the landfill as evidenced by its Gothic-style architecture. (00:32:00)
Let's Give the Boy a Hand - S1-E4
Continuity mistake: When Doakes is about to be killed by Guerrero, the police save him by shooting Guerrero, giving him a bullet wound on his right shoulder. He is also cuffed on the ground to be arrested. However, when he is pulled up, Guerrero does not have a bullet wound anymore.
Answer: Two reasons. First, as a cop he knows that there are lots of murderers walking around free due to flaws in the system so he uses Dexter's "urges" to right the wrongs in the system by taking out people who have no right to walk around free. Secondly, by taking him to a psychologist he runs the risk of having him committed and he doesn't want that for obvious reasons, so he figures it is best to channel his urges to what he considers a greater good.
The_Iceman
In addition to the earlier answer, in the last season (8th) of the show, we are introduced to Dr. Vogel, whom Harry had been discussing the situation with Dexter as well, and it is shown on-camera that Harry describes what Dexter has done (killing)... So, technically he did consult a psychologist/psychiatrist, just not having Dexter and her actually meet. But Dr. Vogel was aware of whom it was and how to intercede.