I don't really see Lynch as having contempt for his fans, though maybe some contempt for people's expectations and the idea of a satisfying sequel. The Return isn't really a season 3 of Twin Peaks, it's more a new Twin Peaks in the context of the modern world and modern TV, that reacts to it in the same way the original series did to 80s TV. It feels just as off and hard to pin down as the original did at the time, and the ending provokes the same feeling of horror and wrongness that the S2 one did. Which is a pretty impressive achievement, given how many shows have tried to capture some aspect of what Lynch did, and how the rise of prestige TV has allowed for more supposedly experimental storytelling to reach audiences.
Sure, Lynch is self-indulgent in his way, but so are most of the artists you love, it's just that Lynch's sensibilities rub the wrong way sometimes. I tend to find it enjoyable seeing him throw something in because he finds it amusing - the Wally Brando thing goes on so long and is so ridiculous that by the end I just think 'sure, why not?' And sometimes the self-indulgence results in really warm and sentimental moments; hardly any of the scenes with Harry Dean Stanton are particularly important to the story but they add something wonderful to the show.