I write in other posts about how films are driven by a specific ontology and various mechanisms that control it.
Generally speaking, I'm not a fan of the show. What you see is an overgrown teenager investigating the murky, secretive world of adults, so it is constrained by a teenage understanding of both the adult world and the search for truth. But I comment on this episode to illustrate one thing, for me it's a small film school in two minutes.
The problem with the show is that we explain and see too much, quite apart from the ongoing mystery, by this point we have seen all sorts of things, and in the hard light of having actual presence in the world of the show: aliens, monsters, spirits, vampires, etc. It's all in the pre-credit sequence here: we actually see what happens with the man's shadow, which renders the hotel room investigation of our pair meaningless to us, we simply have to wait for them to catch up. A usual problem in the show. More, this means we later have to get the nonsensical 'scientific' explanation of why it happens, as we usually do.
But the actual problem is that having seen the thing in a very clean way, it kills the curiosity of wanting to know, of wanting to place ourselves inside this world. It dulls, instead of heightens our receptivity and sense.
Imagine the same pre-credit scene but the door stays shut in our faces, maybe we just see the blue light. Imagine how this would reconstitute our seeing the man the second time in the railstation: his avoiding the light is now mysterious, his twitching and glancing over his shoulder encompasses our own anxiety of not knowing. It wouldn't automatically become a masterpiece, but the foundation would be different. It'd be seeing in a soft light.