The only thing you know from the fact that they haven't arrested him yet is that they haven't arrested him yet. You don't know they won't, and you don't know they don't have any evidence. They may very well be waiting until they have all the ducks lined up so they can go to trial quickly. Or they may be letting the guy sweat a bit, watching him to see if he leads them to anything else. There are examples of arrests that come a year or more after the crime, especially if it is the result of a long-term sting operation. You could apply your "they don't have a case if they haven't made an arrest during an ongoing investigation", but you'd be just a wrong then as now.
You do have a good point there, and this would not be the first time I've been wrong on such and assumption. I assumed that Zimmerman would walk at one point because the hadn't charged him with anything turns out the prosecution was just waiting for the ducks to line up.
Well sometimes when we assume anything we often end up looking like the first first 3 letters of that word.