Shrink Wrap - S1-E8
Visible crew/equipment: When Dexter is picking up the fruit dropped by the man carrying groceries, the cameraman is reflected on the side of the car. (00:17:30)
Seeing Red - S1-E10
Visible crew/equipment: When Dexter is walking towards the entrance of the Marina View Hotel to examine the crime scene, a boom mic is visible in the glass of the window on the right. (00:07:35)
See-Through - S2-E4
Visible crew/equipment: When the wife of one of the victims invites Angel in, the silhouette of a camera man is reflected in the door when she closes it.
See-Through - S2-E4
Visible crew/equipment: As the camera pans to Dexter just before he jumps over the fence at the police station, the shadow of a boom mike is visible on the white wall.
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.
Visible crew/equipment: When they are at the crime scene, you can plainly see the camera and camera man reflected in Special Agent Lundy's sunglasses several times. When it is a close up shot, it is even more obvious.
Dirty Harry - S4-E5
Visible crew/equipment: Before Debra is taken away in the ambulance Dexter is physically stopped from getting closer to the scene, and when Batista tells the cop that Dexter is one of them, in the next shot facing Dexter the reflection of the moving overhead boom mic can be seen on the car window. (00:04:05)
Dirty Harry - S4-E5
Visible crew/equipment: After the ambulance taking Deb to the hospital drives away, a crew member ducks down in front of a parked car in the background. (04:36:00)
Visible crew/equipment: When Dexter is searching the empty house, you can see a crew member with his sunglasses on outside the window. (00:45:49)
Visible crew/equipment: You can see the cabin door open on Dexter's boat, and a crew member getting out while he is driving the boat, supposedly alone. (00:45:45)
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.