Part 2 begins with Joe on a mission to take down Rhys Montrose before Rhys Montrose can take down anyone else. We learn in this part that Rhys wants Joe to kill Kate's father, Tom Lockwood (Greg Kinnear), a very wealthy and well-connected public figure. Tom and Joe have a conversation at a "meet my father" dinner with Kate, where he basically tells Joe that he will be well protected and in his good graces if Joe tracks down Rhys for him. He tells Joe where Rhys is staying, and when Joe goes to Rhys's countryside estate, we see that Rhys has no idea who Joe is. When Joe knocks him out and ties him naked to a chair, Rhys claims repeatedly that he never met Joe and is not a killer, causing Joe to strangle him to death.
It is here we learn that Joe has been in one big state of hallucination since his night at Sundry House in episode one. He had been imagining a relationship with Rhys the entire time and using him as murderous alter ego.
Without realising, Joe murdered Malcolm, Simon, Gemma, and a body guard who was on to him. And in typical Joe fashion, he also discovers that he kidnapped Marienne and had her held captive in a glass cage.