Jesse and Fi are staking out Marco's place, which is the usual type of suburban fortress setup with high walls and armed goons around a palatial house. Fi wants to go in packing, as always, but Jesse suggests an alternate plan involving another car. One of these days they're just going to let her go, and she's going to say, "Oh, fine, fuck it, let's do it your way .I don't even bother bringing bullets to these things any more." Next thing we know, Jesse is following one of Marco's SUVs in a borrowed Mustang, then crashes it on purpose and goes walking up to the gate acting all wounded (complete with a tiny trickle of blood from his head) while he takes in the whole security setup. "Marco -- Dirty Diplomat" comes out his own self, wondering what's going on while Jesse continues to make a scene, walking right in through the front door acting like he needs the phone. Marco hands him a wad of bills to get rid of him while Jesse keeps wandering around babbling like he's concussed and completely lacking in social skills, getting a load of the view out the back door, until Marco sticks a gun in his face and tells him he's leaving. "I'm just gonna leave," he agrees.
Back at the loft (Back! At the loft!), Fi is patching up Jesse's minor head cut when Michael shows up. He gets them to let him in on the gig they're working, and they're able to give him a pretty good picture of the kind of security they're dealing with. Literally, there's a professionally drawn blueprint that Jesse's come up with from memory, showing the exact position of every floodlight, siren, and shed, the latter of which is where Jesse thinks they're keeping the girl. Michael thinks there's more to it than that, given all the security, and invites himself along as they go check back with Stuart to see what's really going on.
Back at Stuart's boat, they show him Jesse's ground plan and ask if he knows any more about what's going on. He's swearing his sister's a victim when there are a couple of clicks and Stu drops to the deck with a bloody shirt. Instead of diving for cover, the three seasoned operatives stand there exposed as the shooter walks onto the dock and says, "Hi, remember me?" We do. It's Natalie, holding a gun on them with gloved hands. I'd be more surprised if Callie Thorne's name hadn't been right at the beginning of the opening credits, or if Stuart didn't reek of bullshit from the word go. Natalie acts hurt that they didn't tell Jesse all about her. "Long story short, I'm a thief," she says, as the subtitles remind us that she is "Natalie -- Thief." Apparently she drafted Stuart, who was really a small-time grifter, to play his part. After making them drop their guns in the water, Natalie reveals that she just shot Stuart with Fi's .45, which she's ready to turn over to the Miami PD complete with its collection of Fi's prints, tying Fi to the murder that Natalie just committed. Whatever, they'd just lose it anyway. Natalie explains that some Venezuelan revolutionaries had her steal something, and now that she's belatedly found out it was a chemical weapon, she wants to steal it back to keep the heat off herself. And she expects the team to help. And with a party boat about to pull in, they don't have much time to agree. Which Michael does, even though Fi doesn't. Or maybe because Fi doesn't.