Gracie Mansion, because in this universe the mayor of New York isn't a Gavin Doran-style bazillionaire. Jane is nervous, but Henry tells her to chill and enjoy the freebies.
Lobby. Tony gets on the elevator with some packages. He brings a box to the third floor, then stops outside Jane and Henry's door because he hears the High-Pitched Tinkly Music of Impending Evil. He uses his key to get into Jane and Henry's apartment -- reason number a billion I don't want to live in a doorman building -- and walks into their bedroom. He opens the closet door and pulls down the suitcase, putting it on the bed (EW!). When he opens it, thick black smoke pours out. The little ghost girl is under the bed again. The smoke crawls across the floor and builds up into a shape as tall as Tony -- and then Tony is standing outside the door of 3B, confused. He picks up the box he was delivering and continues on his way.
Annie's Office of Lies. She's typing up her article on how the city planning commissioner has ties to the mob and sends it in. She calls Gavin, who's at the mayor's shindig and tells him she just sent it to her editor (who is dead?). Gavin says she'll never see Kandinsky again.
He goes over to Henry and snarks that Henry doesn't need to greet him, in case they're being watched. Henry says he won't apologize for trying to avoid even the appearance of impropriety. Gavin opens his hand to show the flash drive cap and says, "You forgot this." Henry silently puts it in his pocket. He finds Jane and is about to tell her they should skedaddle and then Olivia appears, saying that Henry sure has some brass ones for showing up after what he's done to Gavin. Jane is confused, because Jane is a simpleton.
Henry pulls Jane aside and explains what's been going on, that he's not sure who's clean and who's not. Jane asks what he's going to do. He doesn't know and is afraid that he'll lose his job and have to go back to Indiana (first in friendship, fourth in obesity!) and zone strip malls. Jane's all, I have become accustomed to the high life, sir! Make it work! She tells Henry he's his own man and he should do what's right. As long as it keeps her in vintage consignment dresses.