SPOILERS FOR EPISODE 4
........She was Anna right? Did I miss something that would have revealed that? She just leaves and it's never explained what happened to her, but it seems obvious that she was Anna even though Lee didn't recognize her....and her hair colour's different, but I assume she dyed it/wears a wig for some reason? Her face on the tape looked similar, and it all fits together....but she just leaves the house. No backstory, or anything about what her "errand" was.