Things happen in Chicago -- including Van Alden becoming an actual animated cartoon and laying waste to his equally cartoonish tormenters -- but as always, let's try to think as little of that as possible.
Margaret gets another visit from Mrs. Scherer at the women's clinic, and she wants Margaret to procure a diaphragm for her, so that her husband will stop impregnating her and requiring her to drink spoiled milk for on-purpose miscarriages. Margaret goes around Sister Mary Euphemis to Dr. Mason and requests a pair of diaphragms, actually: one for Mrs. Scherer and one for her, as she's decided to continue shtupping Owen Sleater.
Word gets to Nucky that "Jimmy Darmody" has perished in a tragic bathtub accident, so he goes to the Maison Derriere to find out what the fuck, and he ends up in a passive-aggressive standoff with Gillian that turns into aggressive-aggressive when she throws a drink in his face and blames him for her son's death. She sets out to cut all ties between herself and Nucky, including Lucky Luciano. Later, Gillian reaches out to Gyp Rosetti and not-at-all-casually drops that she knows where Nucky and Rothstein will be meeting later tonight: Babbette's.
Meantime, Nucky and Esther and Means convene to plan Harry Daugherty's downfall, which requires Nucky to sneak into a social club under false pretenses and meet with Andrew Mellon, Secretary of the Treasury, which he does. He offers Mellon the deal: arrest George Remus and thus place your hated rival Daugherty at your complete mercy, and in return Nucky will run Mellon's now-defunct distillery at a nice, quiet profit. Mellon at first throws Nucky out on his ear, but eventually he calls him up and accepts the offer.
Billie Kent screen-tests for a Hollywood movie and does pretty well. So well that she and her roommate and her co-star decide to get drunk back at her apartment, and when Nucky arrives, this young pup of a co-star is a little too friendly will Billie for his taste, so of course he beats the shit out of him. Nucky and Billie have a huge fight about what they do and don't want from the relationship. The next morning, she dyes her hair blonde and he sets her up on an allowance with now strings attached, which is a mixed message that won't ever need to be parsed, because that night, as Nucky and Rothstein and Luciano suffer the hot-aired bloviations of George Baxter on the boardwalk, Billie heads into Babbette's ahead of them ... and is blown sky high when the entire building erupts in a fireball.
Gillian, Richard, and Leander are gathered around a pine box that is masquerading as the final resting place of James Darmody. Gillian's wearing a black veil and talking all this bullshit to the undertaker about "I thought I had my son back, then he would reach for the needle..." to the undertaker, who confirms to her that they got the cause of death changed to "accidental drowning" on the death certificate. Behind her, Leander is rolling his eyes like crazy. Gillian asks Richard to say a few words on behalf of his friend, and Richard, inscrutable as ever with that mask, says simply, "Jimmy deserved better than this." Gillian seems like she has more to say, but Leander says that's been quite enough. I don't think this charade has impressed him much. The coffin is led into the incinerator, and Roger Not James the Love Machine is no more.
In Chicago (God damn it), Dean O'Banion and a cohort are finishing up installing a still in Van Alden's kitchen. Seems that after O'Banion helped Van Alden dispose of that unfortunate prohie's body, Van Alden's been conscripted into the Irish bootlegging service. And while before it seemed like O'Banion might be taking a shine to Van Alden, his dickish nature appears to have won the day, as he's so condescending and flippant, he might as well be smacking gum. After he walks through the steps, Van Alden wonders if the smell will cause suspicion, but O'Banion says the neighborhood already smells like shit, plus half his neighbors are likely doing the same thing. Though they're probably getting paid (Van Alden is still working off that debt). Sigrid sits at the kitchen table with the kids and observes it all, while her husband just absorbs the attitude from his new boss. O'Banion expects Van Alden to produce two cases a week, despite Van Alden's protests about his day job. Plus join him for a meeting tomorrow. As he walks out, O'Banion scoffs to his compadre that this poor sap sells irons. So is the Humiliation of Nelson Van Alden complete yet?
Nucky's in his office, on the phone making travel arrangements to head to New York tomorrow. Eli asks if it's to meet with Rothstein or his "other girlfriend." Neither, says Nucky. Meantime, Sleater asks him about "the pony." Eli, who may be back on the team but is far from the inner circle, thinks they're talking horseracing. No, Nucky just wants to buy Emily a pony, seemingly as a "sorry you got polio and can't walk unassisted" present. Sleater has some expertise in ponies, probably because he's Irish (oh, go with me on this), and when Eli cautions against a certain breed because one bit his kid's pinky one time, Nucky brushes him off. Old habits die hard, I guess. Eddie Kessler enters with terrible news: "James Darmody is dead." He shows Nucky the newspaper account of "Jimmy" dying of a "mishap while bathing at the home of his mother." Nucky, Sleater, and Eli all WTF at each other for a while. Eddie: "I'm terribly sorry for your loss." "Don't be an idiot!" Nucky yells at him. Thus ends Eddie Kessler's monthly visit to the show.