I think the idea or subplot of Bobby shooting someone was considered and discarded in the series... They tell us that, that he killed someone, in the Pilot so that we think that this rebel yet not dangerous kid was worst than we thought and maybe they had in mind to solve that mystery later... The series progressed and that was forgotten and when FWWM arrived Lynch felt it was time to explain who was the guy murdered, so he decided to add Cliff and a drug transaction gone wrong... That's all...
James doesn't tell anything and the body is not found, because they 'forgot' about that during the series, like they 'forgot' to explain more things about Lydecker or left ambiguous the references to the mystery man in Laura's tapes. It was in FWWM when everything was explained...
But yes, some would say (and I agree) that we must consider the whole thing as one single entity and as such it is possible that James didn't tell anything because he's an idiot or better because that was something he felt the cops didn't need to know (remember that he and the silly brunettes began their own investigation). And the body was not found because Bobby (with Laura's help or not) buried him deeply later, even if we don't see him doing that...
What is really interesting about that scene is if Jacques wanted to get rid of Bobby, if Cliff was acting as a cop there or as a drug dealer and if that was baby laxative like the one found in Dead Dog Farm... Things related to the drug subplot that tie nicely with the series...