Historically, Law Enforcement has about as good a track record as average man on the street. I mean, look at the hiring and tell me the average cop is somehow trained or experienced in drones or planes or anything much more than speeding tickets and doughnuts. No one is saying there's nothing there, we're saying it was there well before all these sightings and it's almost all airplanes mixed with some people having fun with their DJI and a bunch of mass hysteria.
On the spy balloon - my very limited understanding is that it probably looked like a weather balloon - big balloon going in the sky - IDK how you differentiate quickly. The government doesn't have some magic "know everything in the sky" machine, and they have to decide what to look closer at. Once they decide to look closer it takes time to do that, and then time to decide what, if anything, is a smart thing to do.
My WAG on this is if it wasn't for the political optics they never would have shot the thing down. It wasn't an attack balloon, it was more of a danger to Americans if it fell out of the sky than if it kept going. The Chinese, like the US, have spy satellites that are going to "see" stuff from above - I'd be a little concerned if there was much to see with a balloon that wouldn't have most info about it from the satellite already. If I was making such a balloon, I'd also have it transmitting stuff back in near real time, so I wonder how much intelligence could even have been prevented by shooting it down.
Now imagine they had gung ho shot it down "immediately" - and any of a number of things went wrong. It fell on someone or someone's property. It actually turned out to be a weather balloon. The political optics of that would also be pretty bad.