Luna’s chest wound was not sufficient enough to identify the killer, as they were unsure what could have caused it (could have easily been caused by a lance or any similar conical stabby thing. Also, it’s a good thing Sombra didn’t use some kind of shadow magic or crystals to attack Luna and leave a “smoking gun”, so to speak. I wonder if that was planned ;)).
The missing guards and the magic left in the atmosphere (from the shadow dome) were oddities to the investigation team, however. Current theory suggests that Luna’s guards were replaced by changelings and the magic was from Luna fighting back or from one of Chrysalis’s spells.