Panel 1: “. . . we’re all in big trouble” transitions from the previous page to a scene where Dan is sleeping with the shadow of Rorschach falling across him, not only commenting on the fact that Rorschach was able to get past Dan’s new lock, but also commenting on Dr. Manhattan’s departure, which Dan discovers in the following panels.
Panel 2: The Gazette Rorschach drops onto Dan’s chest is yet another clue as to Rorschach’s identity. This was the extra paper Kovacs bought at the newsstand.
Panel 6: Rorschach is talking out the case as he splashes some Nostalgia on. He knows something out of the ordinary is going on, and that it’s all related.
Panel 8: Note that Rorschach takes the bottle of Nostalgia from Dan’s vanity and puts it in the inside pocket of his trench coat.