Nicky has a rude awakening when she doesn't listen to Uncle Dan and she views a murdered body, after Danny was called to a murder scene. This definitely has psychological effects on the child and it causes her mother to be quite angry at Danny for letting Nicky be exposed to this.
The shame of this shows at the beginning when the murder occurred at the debutant ball and the callous attitude of the chaperon when it's revealed that the victim was not a wealthy debutant in attendance. This shows a definite divide in society regarding the wealthy and impoverished.
The ending where the murderer is revealed is somewhat of a surprise, but that is what this hit show is all about.