My first question was: why are they here? Actually, it was, "What makes this an X-File," but let's not niggle. Do they investigate everything?
Throughout the episode, it felt more to me like Dog Soldiers, which was probably deliberate.
Utterly unconvinced by the ending, though. On two accounts. As a conscious act (rather than "Ohmigodweregonnadie"), I don't believe Gwen would go that way. More immediately: remember her getting shot? Got over that rather quickly.
And they began by splitting up, why, exactly?