Of course they should have been investigated, Anne. That is not in dispute, and they were, and AG made his statement.
The fact is that after 15 September 2007, the PJ would not have been able to constiute the McCanns or Murat as Argidos, becuase they did not have any proof of involvement. Of course if they wanted to ask them certain questions (like the 48 questions) then they would not have been able to without the McCanns having arguido right, and for this they would have needed some proof beyond suspicion. (which is an interesting problem for the Portuguese police under the revised penal code - and has a parallel in the UK with the revised "sus" laws.
I have just watched Amaral's documentary / drama again. It is truly dreadful. If he thinks what he has produced is "proof", then god help those investigate by him. As far as I can see, made for one purpose - to make some cash out of the disappearance of a little child.