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Don't you think it is odd the Cogarrette Smoking Man shot Jeffrey Spender dead inside Mulder's office and no one ever noticed?

Bah. No one liked Jeffrey Spender.

But seriously, it has been generally accepted the rationale for being the character back for an episode in the final season was to clear up the matter you brought up. Otherwise, fans had to reconcile why the character’s ultimate fate seemingly had no aftermath.

Not that it is terribly difficult to reconcile. The whole point of the mythology arc was to demonstrate how well the Syndicate could cover up its tracks no matter how deep. They usually called on the Cigarette Smoking Man to do the clean up. It is reasonable to assume he had Spender’s corpse--for the three years we assumed he was dead--after shooting him. While it is never directly said Spender resigned from the FBI, he presumably did. No one would consider his disappearance anything unusual. Or the CSM curtailed any investigation into it if one was ever suggested. How the gunshot fired in the FBI building went unnoticed is anyone’s guess. The CSM did not use a silencer.

None of that rationalizing is particularly strong, but The X-Files had a notorious habit of abruptly getting back to normalcy in episodes immediately airing after monumental arcs with no lingering elements whatsoever. Personally, I thought some of the monster of the week stories coming right after Scully’s diagnosis of cancer which never mentioned she had only months to live were almost farcical in that respect. The show will drop inconvenient elements in a heartbeat if they might get in the way. At least we got some closure with “William” for however many fans were still around at the point.