Is it well known (in the town) that he's involved with drug trade? I got the impression that he appears on the up and up on the surface. Richard is obviously a train wreck, but Red seems like a "successful business man," without anyone knowing what that business is. But I agree he could be using Shelly to find out what the police know. 

And we don't know if Shelly is the reason they are separated or divorced. Bobby did try and break things off at points during the original series. 

But, no matter what, it seemed odd and out of character for to go trotting off leaving her daughter in crisis. After the way she flung herself on the car, I would expect her to stay glued to Becky. 

I got the impression that Red hasn't been around that long?  Didn't something like that come up in his conversation with Richard?  He's just starting to like Twin Peaks, he might move here, something like that.  I need to check it again but I felt like he was only in town on "business."  The folks at the sheriff's dept. don't know how the drugs are getting into town, so Bobby probably isn't giving Red a pass. I think they don't know it's him.  Probably another reason why Shelly (besides being in thrall to him which I think is still possible too) would be so excited to see him through the window and eager to set up a "date."  She may not be seeing him regularly, they're probably just hooking up.