A Red Herring Clue is simply a Clue that is pointing to a Red Herring Agent rather than a Participant in the Plot. Prevalent on higher Difficulty settings, it may intrigue Max and cause him to waste time investigating the agent alluded to in the Clue.
A Red Herring Clue is, for all intents and purposes, a normal Clue, whose pieces can be collected via all the usual information-gathering methods.
If you believe that the Clue is pointing to a Participant, it may cause you to spend time and effort collecting more pieces of the Clue, and you may even end up investigating this person's Hideout to get hard Evidence about him. This is a grave mistake, as the person is not connected to the Plot and therefore cannot be successfully arrested (nor is there any benefit to doing so at all). Investigating the Clue, or the person himself, is simply a waste of time.
There can potentially exist many Red Herring Clues for you to collect. The game has a finite limit on the number of Clues it can generate - somewhere around 12 Clues. Anywhere from 4 to 7 of these may point to actual Plot Participants, and all others will point to Red Herrings.
Telling a Red Herring Clue from a Real ClueEdit
Since a Red Herring Clue is just a Clue pointing to the wrong person, it can be difficult to tell which Clues are real and which are misleading. It requires the ability to deduce the nature of the current Criminal Plot, and determine whether the person described in the clue fits into the jigsaw puzzle.
Pretty much the only way to do this is when a Clue describes the involved person's profession. For example, a Clue piece may describe the agent as a "Building Inspector". This would suggest that the person specializes in drawing up blueprints. If you already know that the current Criminal Plot does not involve a person acquiring Blueprints in preparation for the crime, you can safely deduce that the person described in the Clue is not a Participant in the plot, and hence a Red Herring.
Another (less useful) method is by noting the sequence in which clues are collected. The first clues you acquire during the Briefing with the CIA Chief at the start of a Mission are almost always pointing to actual Participants. Subsequent Clues found will have a decreasing chance of pointing to anyone relevant. You can see the order in which Clues were collected by checking the "Review Clues" document - the later clues found are closer to the bottom of the list. There's a caveat to this however, because Participants who have not yet performed any action or received any message will not generate a Clue until they are activated - something which can happen very late in the Plot for some. Of course, if you do your job right, the identity of these agents should already be known to you by the time they're activated, even without a Clue pointing to them.