Anyway, she figures it was the crew of armed men that shot her who probably took Walter and then, heartbreakingly, she starts to sob as she apologizes to Peter for not being able to protect Walter. Oh, don't worry about it. Walter's not even really his dad!
Astrid gives them the address of the warehouse and says there was something going on: "We heard strange noises, animals that I didn't recognize." Oh, come on. Does Astrid's linguistics expertise include knowledge of all animal sounds, so that she would classify an animal noise as strange? "There's something off about that hippo noise!" At any rate, Olivia figures they're probably gone by now, but Peter wants to go anyway and maybe they'll find something. Well, OBVIOUSLY, Peter. Olivia was JUST SAYING. Broyles promises to let Olivia know if the Boston Police find out anything about Jessica Holt. Peter and Olivia head out the door, with Astrid tearfully warning them to be careful.
And yeah, the armed men are probably gone, but since an FBI agent was SHOT IN THE BACK in what world is the FBI not descending on the warehouse with a fully armored SWAT team? I mean, "We assume they're gone" doesn't cut it and even if they're not going to bring backup, you'd think Peter and Olivia would be a little more cautious as they pull up to the warehouse and approach the door.
Instead, they're yammering away about what infecting people with nanites and using the sun's light to ignite an oil reserve have to do with collapsing two universes to create a new one. Peter doesn't know if there's an answer other than to awkwardly shoehorn plot points into clunky dialogue.
So they stroll into the warehouse, with Olivia finally figuring that maybe it's a good idea to take her gun out. But good lord, if you think you need your gun, maybe the guy with his ARM IN A SLING shouldn't be the one leading you into the warehouse where your colleague was shot.
They find September, standing on the chunk of Jessica Holt's floor. This is, it's safe to say, unexpected. Peter asks what he's doing there. "I am not here of my own volition," says September. Before they get any more answers, Jessica Holt steps out with her own gun and orders Olivia to put down hers. Great job, Fringe. Top-notch work you're doing right now.
Olivia doesn't comply, but asks what she's doing. Jessica says she's sure many things are racing through her mind right now, but none of them is as important as what she is about to say: "If you ever want to see Walter again, but down your gun." Olivia does so and slides it over to Jessica. Jesus Olivia, don't over-deliver! Not here!