The fact that the authorities were bombarding the family with questions, becomes disturbing since you have no clue as to why you are being questioned. Imagine trying to be forced into answering something you have no idea the reason behind you are being questioned and expected to answer the truthfully.
What the officers came for was disturbing for sure. But the fact that it already started when Jennifer was pregnant was even more alarming. They had trusted the wrong people. But why did Luna refuse to let their daughter sleep alone? And what did Julian eventually figure out that such a large police presence was necessary?