The real mystery of these stories is in the protagonists' various points of view, because the Trilogy isn't necessarily about solving cases, like other detective fiction might be. Instead this Trilogy challenges its readers to be detectives themselves, learning what is implied through hints throughout the stories, trying to deduce what exactly the author's intentions might have been, if any—of course the issue of objective truth remains a mystery throughout.
Objectivity is a lot more difficult for these detectives than subjectivity. In fact, they find they work better sometimes when pretending to be the other person, because they hope by addressing the subjective experience of the person in question, they will be able to naturally intuit what their next steps might have been. They put themselves in other people's shoes, but objectivity would be to release one's self from shoes entirely, so to speak.
By the end of the stories, we see The Locked Room, where a writer is tasked to write fiction, but instead, he steals someone else's art. The missing person is interesting to the writer, sure, but not enough to be a detective about him anymore. Instead of trying to find the missing person, the writer claims the person's work for himself and literally replaces the person in their own family. This is a satirical portrait of what detective fiction might really be about; escaping one's self by becoming another.
