This Is the Way the World Ends - S6-E12
Dexter: I am a father, a son, a serial killer.
Get Gellar - S6-E9
Dexter Morgan: Are you okay?
Debra Morgan: Yeah, I just threw away a pair of shoes because they're full of blood, but I'm great.
Dexter: 'Cause I'm here if you need a chair.
Debra: What?
Dexter: What you said before. I'm a chair.
Debra: Yeah, but I don't want a chair. I want a table.
Dexter: Deb, what are you even saying?
[MC Hammer's "U Can't Touch This" playing.]
Former Classmate: Come on, Dexter. It's hammer time.
Dexter: [internally] I have no idea what hammer time is. Or how it differs from regular time.
Isaak Sirko: You didn't kill Victor out of vengeance. I have a feeling you're a different kind of animal. The question is...what kind are you, Dexter Morgan?
Dexter: The kind who hunted your friend down and strapped him to a board and put a plastic bag on his head and crushed his skull with a fire extinguisher. The kind who's gonna do the same thing to you, give or take the fire extinguisher.
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.