Episode 8, a man is walking his wife's terrier at night and it runs off because of a dog whistle. It's dark and technically off screen, but you hear it stop barking, and then the man is captured by the bad guy and put in a crematorium box and burned alive. They stay close up on his face, but you can see white fur in the box with him, and it's later confirmed during the episode that they found dog and human remains in an urn. It at least appears he killed the dog before putting it in the box with, but the whole scene is very distressing.
It's not a sure thing. Mapplethorpe's cat disappears in S2E5, and a grave for the cat is found, but the cat's not in the grave. However, the cat isn't seen again in the episode.
A man and woman have sex and we find out later that it is a mother and the son she gave up for adoption at birth. The son knew she was his birth mother when he had sex with her. She didn’t know until after.