I think you mean the scene where Jimmy has a warehouse in Brooklyn where he's accumulating swag. Karen stops by to tell Jimmy about Henry's criminal case. Jimmy invites Karen to take some swag for herself, and directs her to an alley where she can get it. But Karen panics--she thinks Jimmy is going to have his guys kill her because of what she knows about his and Henry's rackets.

I think the point of that scene is to show that, under the severe pressure Karen was feeling because of Henry's arrest, she was getting paranoid.