"Red Museum" is one of the most convoluted episodes of the whole series. And it's also interesting in the way that the first half of it feels like a very strange standalone episode and then develops into a mythology episode during the second half. You watch it and think this is something totally weird and nothing to do with any previous storylines. It makes you think whether it's about spirits? Religious cults? A peeping Tom? Growth hormone? It is indeed very confusing, but at the end it makes sense. You're not the only one who was confused, especially seeing it for the first time. I know people who needed to see it a couple of times and even read explanations about it in order to understand it fully. It's a difficult, but good episode. And even though we wanted Crew-Cut-Man (Deep Throat's assassin) alive... you could also look at the brighter side and say that Deep Throat's death has been avenged.