In truth, Jesse did understand Harvey somewhat. He knew from the very beginning that with Harvey's character, he would not have killed Wilhelm.

The reason he threw Harvey into prison was to protect him, other than it being the Xavier family's order as well. But he did not expect something like this to happen outside.

Not only Donald had died, but all the young men and women he brought back also mostly died. All of them died the same way. They could not even resist, all of them slain in one sla