First, just the general details of the murder itself: The purposeful arrangement of the dead boy (Will), posed in prayer, could be related to the group in season 1. It's a stretch, just a possibility.
Second, the way the mom was implying having some feelings of guilt, combined with the fact that SOMEbody definitely drilled a peephole into the kids' bedroom, suggests some kind of pedophilia connection. For a random example of a theory: perhaps the mom was letting creeps pay money to watch her kids undress, and maybe one of these creeps was hooked into the pedophilia ring, and they killed Will and took Julie. Total conjecture, but that's just one possibility for example.
Third: just the way Julie acted on the tapes. Her body language on the video, the way she sounded on the call. She sounds unhinged, detached from reality. Like someone who was on drugs or mental or both might sound, yes; or maybe like someone who went through some truly heinous shit as a child with some deranged psychos might sound.
