Don't remove the sentence; replace "it" with its antecedent. In other words, answer the question "thinking about what?". Thinking about the conspiracy theory? The actual sequence of events that happened? Or the non-conspiracy explanation for those events? That's what I meant for all four bullet points.

As a general rule, "it" is fine when the intended antecedent is in the same sentence, and there is only one such antecedent for all instances of "it" in a single sentence. Multiple distinct instances in one sentence, or an unambiguous antecedent earlier in the same paragraph, can often be fine, but should be scrutinized more closely. Antecedents that don't appear in the same paragraph are generally a bad idea. (As always, there are exceptions and details. But that's a good starting point.)