The Lion Sleeps Tonight - S3-E3
Continuity mistake: A man in a blue t-shirt and holding two beer cups is seen walking in front across Dexter and Miguel. In the next shot the same man is seen walking behind them. (00:15:40)
The Lion Sleeps Tonight - S3-E3
Visible crew/equipment: While at the cemetery a reflector (to brighten the actors' faces) is regularly visible in the DA's glasses.
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.