I had my wife watch the Disappeared episode without knowing anything else about the case.
I shudder to think of having a tragedy in my life and then making judgments based on a 40-minute docudrama. She's a good read of people, though, and she took a guess about what happened. So here is her wild speculation, with no offense meant to the people involved in the tragedy.
Kelly's two friends interviewed seemed somewhat effeminate or at least not stereotypically masculine. Kelly may have been that way too. He may have been gay, bisexual, or "metro-sexual". His father didn't accept this and encouraged him to do stereotypically masculine things like sports and martial arts. His father encouraged him to have an archetypal feminine girlfriend, resulting in him having a troubled relationship. He was very close to his mom after the divorce and had disagreements with his dad. He was approaching graduation from college, a few years older than is customary for a 4-yr degree. He was scared about going full time in the real world, which for him meant working full-time in his dad's small-town construction business and marrying his girlfriend. He felt stuck in this world of a job and relationship he was unhappy with. Still in college at 25, he approached it more like a 20 y/o, not aware of the world of options in life of living in different places with different people. He wasn't getting along with his g/f, so he went and killed himself next in the lake where he grew up into this life, the lake his home and his father's home were located. His g/f and dad feel awful. They saw the warning signs but don't want to admit it. They don't want to think they played a part in making him feel trapped and suicidal.
His dad is very concerned with his imagine. A few times in the video he seemed to be bragging. In the comment on how many hits the search page got, it almost seemed like he was more impressed with his ability to get attention than the possibility of finding his son. It was similar when they mentioned getting the police to break their usual waiting period for acting on a missing person report. He likes being a big fish in a small-town pond. This concern for being a big fish may have pushed Kelly into trying to be more stereotypically masculine and ultimately made him feel trapped and suicidal.
His g/f feels partly responsible. She focuses on the details of where his headphones were, etc, to avoid talking about their troubled relationship. Maybe she chose not to answer her phone when he rang from the other room, and she feels awful she didn't answer it.
This is why they said they checked for the gun "to see if he was armed", ostensibly for if he confronted an intruder, but deep down they checked because they know he was deeply troubled.
If any of her guesses are right, it's awful he didn't just do something "stupid" like moving to try to live his dream, maybe volunteering at an art studio trying to get a job there while paying the bills with a job at a clothes store... or whatever his dream may have been out side his small town in the South.
I don't pick up on these little human foibles, which is part of why these cases interest me. My wife is more attuned to people, but I wouldn't judge anyone based on our impressions from a docudrama. Our impressions were shaped by how the directors cut the interview footage, so I can't judge anyone involved. It's possible Kelly's father and g/f were very supportive, and something entirely different happened to him.