There seem to be very few people out on the streets of Gotham. While this can be attributed to the limitations of CGI shows, the setting is Gotham, a city well-known for how corrupt and shifty it is, so there would likely be few people on the streets.
Some places that are less busy than others, especially at night. Criminals would stick to the quieter areas — and since crime is the show's focus, that's what we see.
In "Secrets", Magpie's goal was to regain her lost memories, or her identity. She also has an obsession with shiny objects. A person can see their reflection in shiny objects, so Magpie was both literally and figuratively trying to "see" herself.
Also, the lost identity was that of a kleptomaniac. Magpie's obsession might be the same subconscious urges that Margaret Sorrow tried to suppress re-expressing themselves.
Humpty Dumpty's rhyme is a metaphor for his life. Humpty sat on a great wall (being right in the middle of a turning point of the war between Whale and Gordon), then he had a great fall (his descent into madness), and all the king's (Gordon's) horses and all the king's men (cops and doctors) couldn't put Humphrey Dumpler back again (he is irreparably insane).