Because it's an active homicide investigation. Investigators do not want to tip off potential witnesses about what the evidence might be. We already know quite a bit, at least about the basics of what LE thinks happened.
I am a very private person, and if my friend picked me up and asked what I was doing there, I might just say, "Oh, I had some things to do there." End of conversation.
I don't find it odd at all - at least not as odd as so many people on Melrose saying they knew Heidi, saw her often and that she was a cheerful, helpful member of their community, always cheerful, very friendly, "everyone knew her."
It's a shopping district, she didn't live that close to it, but apparently she was there a lot. I wonder why. How did shopping create a situation in which people thought she was so helpful? None of them says that she was their friend, just that she was a "member of their community."
Apparently she just...hung out there. Did she also "hang out" near H+F?