After dealing with Caitlin, Jimmy could finally relax. Caitlin's words were very clear; she said the same thing to everyone. It seems Caitlin left some trace when checking Sullivan's information, which might have led to an investigation being discovered.
Sullivan and Greg died in a car together. Sullivan was not a particularly special person, but Greg would definitely attract investigators. If a correlation investigation does lead to Caitlin, there's a good chance Jimmy will be implicated. Caitlin's words are a hint to Jimmy to prepare for possible investigations and to refine his own investigative justification.
This is somewhat troublesome; Sullivan was an intermediary. Any angle which involves him will trigger a targeted investigation, and the direction of the investigation is definitely not what Jimmy wants.
