The social worker has a few flashbacks to when she was a kid, and the rabbit comes from those flashbacks as well. It's a whole thing.
Also Mr. Gone is a real dirtbag and fits in great as the villain. I want to read the comics because there's a lot the show doesn't get into. I remember reading in Wizard magazine sometime mid-90s that Maxx had killed Gone in the comics, only for Gone to come back as a giant Banana Slug.