I don't think the show is being vague at all with regards to the supernatural. I think it's being vague with regards to the boundaries of how this society perceives religion, and how aware a person is of his grasp on reality. There's nothing in the show which suggests that there is anything supernatural going on. People engaging in occult activities is not supernatural, and that's the main direction the investigation is heading in now.
There is no indication of things that could not have been done by a human, there is no indication that there are forces at work beyond human understanding. Cohle is the only one so far who has been seeing things, and he certainly doesn't suggest with any seriousness that he feels they're supernatural in any way, 17 years after the fact. These are people who were involved in a strange case, and have obviously seen things which changed them, but if there is something supernatural about the story, I think the tone and the direction would be fairly different with regards to Hart and Cohle's respective views of the events.