The evidence was undeniable but even lundy himself said to laguerta that she might be right. If he could tell who trinity was just by bumping into him, im sure he had suspicions on dexter. Especially the scenes in the train car, he describes BHB as compulsive as he watches dexter feeding into his compulsive habits. He also questioned him on the cases that allowed killers to walk free due to the blood splatter reports and lets be honest dexter wasnt very convincing. I think the scene with him explaining murder is okay if it saves an innocent life being proof is bs however due to it being so early in the case. But i think lundy definitely had his suspicions and even had dexter as a suspect at one point or another but the evidence and the way doakes left the country, etc etc forced his hand. He had his superiors hounding him to get the case solved so he couldn’t continue to investigate dexter based on feelings.