Other mistake: An extra is walking in the background with a measurement wheel while Debra is talking with Lundy outside of the warehouse. The character is hovering the wheel over the ground and not actually using it for its intended purpose. (00:17:10)
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.
Revealing mistake: When Deb is texting "Looks like it" to Anton, the buttons she presses on the keypad do not correlate with the message itself and the phone doesn't show any auto-correct feature being utilized, indicating that the text message was added in post production.
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.