(Flashback) When Davey dies at the hands of an unnamed individual, Harry feels that his world has "spun out of control." After he reads a eulogy for Davey, he tells his son, Dexter Morgan, that not everything is about vengeance or balancing the books...but about something deep inside.
(Flashback) Later on, Harry picks up Dexter from a location in the middle of a rainstorm and it's obvious that he's upset about something. The two talk and Harry confirms that the judge let Davey's killer walk free, based on the bust not being "righteous." Dexter questions the decision, asking why a bad guy can cap a cop and get off without so much as a slap on the wrist. Harry tells him that things can always be set right. The two of them perceive that Davey's case is another reason why their plot to kill those who take innocent lives and escape justice is the right thing to do.
It's implied that the man who killed Davey was Juan Ryness.