Matthew Williams was found attacking Cerys Marie Yemm, 22, at a hostel in Argoed, Caerphilly county.
Police used a Taser stun gun on the 34-year-old and he later died.
"This really is the stuff of nightmares," said one politician.
Serious further offence reviews are held if crimes are alleged to have happened within 30 days of a sentence ending.
The Independent Police Complaints Commission (IPCC), which is investigating, confirmed Williams had been a resident at the Sirhowy Arms hostel, which houses vulnerable and homeless people, including ex-offenders.
It was there on Thursday that police found him attacking Ms Yemm, 22, who was from Blackwood.
Sources confirmed Ms Yemm suffered substantial facial injuries.
The community has reacted with shock to the murder and William Graham, a Conservative assembly member for South Wales East, said a "wider inquiry into the circumstances surrounding his release is urgently required".
"Questions must be answered by authorities and a full explanation provided on the  decisions taken in this extremely tragic case."
The Ministry of Justice would not comment further. However, it is understood ex-offenders are not always subject to supervision if they serve their full sentence and have not previously been convicted of violent offences.
Details of Williams's previous offences and the length of sentence he received have not been confirmed.
Chris Evans, MP for Islwyn, said: "This was a horrific and senseless crime that must be condemned without reservation.
"However, this is not the time for knee jerk reactions. A full investigation will be conducted by Gwent Police and the IPCC."
Williams's family said it was in "shock" following the murder, adding it was "devastated by the death of an innocent young lady".
Ms Yemm worked in sales at Next and was formerly a student of Coleg Gwent between 2008 and April 2009. She had been studying health and social care.
Williams and Ms Yemm knew each other and police said they were not looking for anyone else in connection with the murder.
A post mortem examination of Ms Yemm's body is expected to take some time to complete.
Gwent Police said a lone female officer initially responded to the attack.
Ch Insp Paul Staniforth told reporters on Friday Ms Yemm's family is being supported by officers.
He also said the female officer and others who later attended were being supported by the force's occupational health department.
A serious further offence review will take place into the case of a man who murdered a woman in an act of cannibalism shortly after being released from prison, the Ministry of Justice has confirmed.