Crimes go unsolved all the time

There are all sorts of points of failure between a crime being committed and the perpetrator being committedpunished.

1. The crime must be brought to the attention of law enforcement. Crimes that are never reported are never solved.
2. Law enforcement must make a judgment call that a crime has or might have been committed. Many reports of "suspicious activity" (that may or may not be criminal) die right here.
3. Even if they decide that there might have been a crime, law enforcement must decide whether to just file the information or actually initiate an investigation. This is where most break & enter and other property crimes die.
4. Law enforcement has to decide how actively to pursue any particular investigation. This is a judgment based on many factors including the seriousness of the crime, the likelihood of identifying the perpetrator, the likelihood of obtaining enough evidence for a conviction and the available resources and other demands on those resources.
5. The investigation has to actually identify a suspect and produce enough evidence that a conviction is more than a remote possibility.
6. The prosecutor that law enforcement takes this to has to assess the strength of the case and decide whether it's worth prosecuting. Again, a multi-faceted decision.
7. They have to get through the arraignment hurdle.
8. They have to get a conviction.
9. The conviction has to survive any appeals.

Now, it's not necessary that everything is known in detail - circumstantial evidence is enough if it convinces a jury of guilt.

For your scenario:

• It's murder so there will almost certainly be an investigation.
• There are lots of suspects - the investigation will have to gather enough evidence to realistically bring a case against some or all of them. If it can't; the murder remains unsolved.

There are plenty of people walking away free that police know committed this or that crime.

It doesn't matter what they know - it only matters what they can prove.