The one who Andy Lau kept seeing is his own conscience, whereas
the one who Cecilia Cheung saw and who killed her was the escaped
murderer, Sun Guo. At the end of the show, Andy Lau will bought the
escaped murderer back to the police.
Sun Guo is not Da Zhi Lau, it's just that Andy Lau named his
conscience as Sun Guo. Otherwise the one who murdered Cecilia
Cheung will be Andy Lau himself.