Freakshow didn't know much about ghosts. That was Wicked's job, he had his own area of expertise. No, Wicked could deal with the dead. And Threnody, too, apparently. Spence still wasn't sure what was going on with the dead rising but not being the dead, but he also wasn't going to worry about it. Wicked was back, and that was enough for him.
Even if she really wasn't back. And as much as it might sound insensitive, he would rather she was dead than some impostor was around. Wicked had never wanted to bring back a friend to life -- what was she going to think if someone was messing with her like that? And the fact that she was calm and together about the whole thing...
He really wasn't sure if he was happy or worried about it, and he seemed to vacillate between the two feelings.
That's what made him follow Threnody. She seemed to be most concerned about this whole death thing, and he wanted to know what was going on. Maybe following her wasn't the nicest idea, but this was Spencer. Sometimes his mind worked oddly.