The police are saying that video shows JM leaving a bar with Hannah. They do not have any evidence that Hannah got into any vehicle with him, and there is no evidence to disprove that they did indeed go their own separate ways after leaving the bar.
I agree that this look very bad for JM, and it seems to me that the police are very suspicious, but simply do not have the evidence to hold him, forget outright accusing him. They cannot do it.
As for why JM is acting so erratically and refusing to cooperate, bear in mind that he is a poor, non UVA student, AA male being under suspicion for the disappearance of a white woman in a southern state. He has spoken to an attorney, it is clear, and my guess is that said attorney told both the police and him to take a walk. Told LE they had no grounds to hold him, and told him to keep mum. Those are his rights. If LE wants to arrest him, they need some evidence beyond the fact that he is the last person they can track on surveillance camera tapes before Hannah disappeared.
Model citizens, commited Christians, upstanding members of society in the south when AA males accused of foul play with a white female have not fared well.
I say all of this even though I feel that there is sometning not quite right about this. From the tapes, he was following Hannah, and must have noticed that she was acting erratically, was possibly drunk, under the influence, etc. And he bought her drinks? Then just let her go her own way? Doesn't sound good to me at all. But until the police get more evidence, there isn't much that can be done. If some of her DNA is in that car or whatever else of his they got, they might have grounds to book him. Even with that, taking the case to trial would be risky. No body. There are other explanations, unlikely though they may be, still possibilities. So LE needs more information.