I think the need for more comes from people wanting to know more about the hidden people, the cult that has built up around them in Scoggins, etc. The astronaut and Nelson's dream. You know. We wanted Puzzle Agent to leave things open in the bigger picture but to still be closed and complete within itself. Where people feel we landed on that seems to vary quite a lot, from your "case closed!" to people who feel like nothing happened at all in the story. I don't know if that means we did a good job or not, but I'm pretty happy with where the story and mood landed.
I think there is more to be told about Scoggins, if we wanted to, before going Monster Of The Week with it -- quite a lot of the "loose ends" people have with the story do have backstories and ... frontstories (?) written down here in the office. But what I like about the game is that, were it to be continued, it could hold quite a lot.