I think Bella's issues are due to a lot of things happening to her in a short period of time - miscarriage, James' adultery (Bella despises adulterers so an implication might be made) and him eventually leaving. Something important to remember - she already forgave him for whatever he did and wants him to come back, so theoretically James is at fault for their supposedly broken relationship.
As for the locked room, there are a lot of versions mentioned around here - nursery, James' home office, sex dungeon, empty room where James' corpse is hidden. Personally I think it's going to be the nursery. It's dark enough and it fits with DPC's style of writing.
As for James, I think that he will appear soon. If I have to take a guess, it will be the next episode or episode 8 (being the season 2 ending). And I think DPC won't write him as a horrible piece of shit, like Burke for example, to further guilt trip us for trying to romance Bella.