Oliver: So everyone's going there [Los Angeles]

Charles: But in the big Apple we remain. Maybe we could dig up a cold case or something.
Sazz: I got a cold case for ya!
...
Charles: How'd you get in here?
Sazz: Who knows? Have I made copies of all your keys? Like I said, who... knows?

Inferences

• Charles wanted an old, unsolved murder case in New York to solve for their next season, to which Sazz replies that she had a cold case. She was holding a case of beer, but she may also have been talking about the unsolved case of Dudenoff's disappearance/murder.
  • The "Dudenoff?" note in her apartment was probably her failing to locate him.
• Then we learn that she (almost certainly) had copies of all their keys, which would be convenient for setting up cameras in their apartments.
  • This doesn't necessarily mean that Sazz set up the cameras. That could be anyone who got the keys off of her dead body.
• She later says that she has something sensitive to discuss with him, which may be that she has discovered a connection between Charles and the Dudenoff case.
  • Charles is generally quite neurotic, but his most sensitive topic of discussion is his father, so perhaps there's a familial connection in all this.
  • This would also fall in line with them meeting his sister in the upcoming episode, where they might end up discovering something about their father/family related to the case.

Edit: As was just pointed out to me, Charles had mentioned that Sazz and he shared a super rare blood type. Between that and their other physical similarities, common traits, and similar taste in women, it's quite likely that the familial connection issues that Sazz and Charles were related, perhaps as half-siblings.