Nothing illegal except being both armed with guns and out after curfew, which again, as 2020 has shown us police love a good curfew to go around and start kicking the shit out of protestors. And yes, I know police have made it clear that they aren't there to protect you (I don't agree with it but hey, what do I know), but it is their job to investigate crimes and such by, oh I don't know, detaining someone who admitted to shooting a few people, especially since they were more than close enough to hear the commotion of gunfire and panic from just a block away.It's probably because they saw nothing illegal happened. I mean, they didn't have the obligation to protect the protesters. That's why they didn't arrest him after he killed two people.
EDIT: Also, "didn't know a crime happened"? There were so close that fuck face McMurder pants literally ran up to them, and they evidently knew something happened because they moved up towards the commotion after conveniently not arresting him.
EDIT2, ELECTRIC BOOGALOO: Shit, my bad, just realized the saw nothing happened was in relation to the thanks/water bottle nonsense.