Poor Herod is like so many people who encounter Jesus, they don't know what to make of him. Remember that Herod had beheaded John the Baptist. There is a wonderful symbolism in that act.
John is often seen as the conscience of Israel. In the beheading of John, the mystics see the cutting off of one's conscience. Herod had over-ruled his conscience on everything. He was a tyrant. But still Jesus annoyed him.
We can never completely kill our conscience; it is impossible. The still voice of God, the voice crying in the wilderness of our heart, shall always call us to account.
How often are we like Herod, called to account by a distant voice that ruffles our comfortable life.