When returning to Casey's office, Olivia says she had to go three blocks to find an open coffee shop. It seams unusual that given the length of time she'd worked there, she didn't already know where they all were.
Correction: Benson said she had to go three blocks to find an open coffee shop. Even if she knew where they were, it wouldn't matter if they were closed.
When trying to figure out who took Nina Zergin into custody Captain Cragen says it wasn't the fed's because he checked with the FBI who said they did not have her in custody. The first thing they should have done is checked with the DHS (Department of Homeland Security) to see if they took her into custody. After 9/11 the DHS became responsible for immigration and customs enforcement (among other things); in 2002 the INS (Immigration and Naturalization Service) was shut down and reorganized into ICE (Immigration and Customs Enforcement), which is a division of the DHS. Since Nina is an illegal alien it would stand to reason that there was a good chance that she was taken into custody by ICE.