the Free Dictionary:

associate 及物用法之一：5. (tr) to bring (a person, esp oneself) into friendship, partnership, etc

这种用法并不需要搭配介词with。直接说associate sb。in介词短语并非搭配关系，而仅仅表示在调查中与某人形成合伙关系。

associte sb/sth with sb/sth，意为：把 A 与 B 作关联。这并不是本句要表达的意思。

"I should be proud to feel that we were acting together, Mr. Holmes," said the inspector, earnestly.

该句省略了if从句：If you would join us in our investigation, I should be proud to feel that we were acting together.

that从句并非虚拟语气，而是陈述语气。例如下句：

When you retire ten years later, you will be proud to feel that you were a good doctor.

此句中，主句谓语will be feel为将来时态，但to feel的宾语从句的时间却是此时以前的，故用一般过去时。

网友的句子中，that 从句用过去进行时与此类似，只不过进行体强调在整个案件调查中，一直在一起行动。如果用acted，则只表示一起行动过。