No, what I mind is the players not knowing what they're supposed to be doing. I really hate it when every lead you follow turns out to be a dead end or a red herring. Or when the NPC you're talking to has the information you need, but will only tell you if you ask exactly the right questions.
In fairness, that sounds like a
poorly designed mystery, especially with regard to the bolded text.
First, a well-designed mystery should have a clear goal and motivation. For example, if children in X village have recently been turning up dead and the PCs are hired to investigate, the goal is clearly to find the killer/s and stop the murders. IMO, too many mysteries start with a dead body, a vague goal, and no real motive for the PCs to follow through with investigation (or care enough to take it up in the first place).
Second, the PCs should be given
some leads. Leads are essentially hooks for a mystery adventure. All too often I see mysteries that start with an event (or events) and then expect the players to generate all of their own leads. Not every RPG players is Sherlock Holmes, and it seems that too many mystery scenario designers forget this.
Third, while all leads need not not pan out,
some of them should. Further, the mystery should be designed so that the simple process of eliminating red herrings will narrow the scope of an investigation, ideally revealing more valid leads (these new hooks are the reward for investigation). Sadly, the 'every lead is a dead end, except lead X' model of mystery design seems rather common, IME. Every lead, even red herrings, should tell the PCs
something (other than "Hey, you just wasted three hours!" of course).
Finally, a good mystery has considered as many avenues of resolution or investigation as possible. A flow chart can be really handy for such organization. Frex, if X lead is followed to Y, Z happens. Or if X lead is followed to B, C happens. Or if X lead is followed in Y way, see V. Mystery writers make use of flow charts in this manner quite often. Things can get complicated quickly and the GM should have
some idea of where things might go.
This is obviously not a mystery flow chart, but you get the idea.
In most mystery adventures I've played in, we've spent most of our time just sitting around wondering what to do next. Someone's disappeared on the planet? OK, we go there. We ask about her. No-one's seen her. Where does that leave us? Frustrated, that's where.
Again, a great example of a poorly penned (or run, in the case of RPGs) mystery.
Although I'm not quite sure if the adventures aren't causing the problems in the first place - what is a well written investigative adventure?
Sadly, a lot of published investigative adventures are total clunkers that get hung up specifically because they don't do a lot of what I have suggested above — they lack a clear goal, are full of red herrings and dead ends that do not serve to narrow the focus of an investigation when discarded, do little to reward players for following up on valid leads, and have a single, inflexible, path to success.
Now, there
are exceptions, but (IME) such adventures are just that — exceptions. I
love mystery scenarios but there are precious few published scenarios that I would play as written. A decent scenario that I consider to be representative of the
good design traits that I mention above can be found at the following site:
Brent Falconer's Lifepod
For me, I can quickly browse an adventure scenario and determine if it's something that I would like playing by noting the occurance of "if" statments. Frex, "If the players do X, Y happens" — it's a good indicator that the designer has considered multiple avenues of investigation. Likewise, if the scenario has more than one possible outcome described based on PC actions, I'll probably be willing to give an adventure the benefit of the doubt (note that Lifepod is somewhat limited in that regard, but this is because it's a 'one shot' adventure).