Because the first chapter WAS too short. Read and review!
Peter thinks he should have a more devious and evil plan. He's the one pulling the strings with Kate, "kidnapping" her and making her seem like the victim when in the end, the only victim here is going to be Neal.
She had been planning on running. She looked for the stash Neal kept, but it wasn't where he said it'd be and Peter had caught her. He'd been looking for the infamous stash himself when he stumbled upon her preparing to run with it. Kate had been ready to leave Neal alone, without a word, because she was getting greedy. Well, Peter wasn't going to let that happen.
Why is that? Well, there's the reason he says aloud and then there's the real one that he only thinks. He tells himself that it's because no man deserves to get betrayed by the woman he loves. The real reason is because Peter is rather fond of Neal. He doesn't want the conman to get hurt. So Peter manipulates Kate and that in turn influences Neal to break out and everyone knows the story from there. He sets up the ATM photo to provide evidence that there's someone forcing Kate to do this.
The truth is as soon as Neal gives in and leads Kate to the stash, she's going to leave and disappear off the face of the Earth. The man with the ring is going to take the stash and kill Kate or lock her away and Caffrey is never going to know that Kate betrayed him. Neal's going to be hurt, but not nearly as badly as if Kate had just disappeared. Peter sighs. Maybe one day, he'll tell Neal the truth, but for now, he'll play the good cop and keep Neal safe and out of harm's way. At any cost.