Theory about Judy
I just re-watched Fire Walk With Me (probably my 4th viewing), and - after reading some online theories about who/what Judy is - I thought of an alternate interpretation. I don't believe I've read this elsewhere, but with so many theories out there, I apologize if what I say is similar to someone else's out there.
In short, I think 'Judy' may be the name of another spirit, similar to Bob and Mike, and by the time the Twin Peaks series and FWWM stories begin, the Judy spirit no longer exists, not appearing in either of the lodges, convenient store, or dream sequences. However, Judy does exist as whichever woman wears the owl ring.
So, I suppose with this view, Judy is every murdered girl. The spiritual name of the spiritual bride/ring-wearer.
Here, I'll just throw out some thoughts to relate all of this together. Judy's spirit shared some sort of relationship with Mike and Bob. She was the original wearer of the ring (possibly married to Mike), but was murdered by Bob, motivated by jealousy or whatnot. This loss also helped act as a catalyst to turn Mike into a good guy, wanting to stop Bob. (and maybe with fear of Mike, Bob has to repay Mike for his crime with garmonbozia). The Judy/Mike/Bob relationship, to me, is a spiritual reflection of the Caroline/Dale/Windham relationship.
Each girl, after receiving the ring, either somehow symbolized or, from Bob's perspective, became Judy, thus compelling him to murder. And, after Laura's death, we see the monkey saying 'Judy' signifying the continued cycle of female deaths after Judy.
Jeffries, after gaining knowledge of the spiritual meetings above the convenience store, is aware of the spirits, including Judy. But, knowing Judy doesn't actually exist anymore, and the ring is floating between disappearances and murder victims, knows it is pointless to really talk about Judy - she doesn't exist.
Now, I know there is other peripheral information out there relating to Judy - interviews, other scripts, etc., I chose to just go with what is observable in the movie. If you can't tell, this kind of just popped into my head, so as an idea it isn't completely developed. But, I wanted to throw it out there to see what others thought.