Well, I mean, Peggy did give them an entire lecture about how there was a female assassin out there, and yet with Dottie and Angie, the agents fall back into the old "they're women, they couldn't possibly be less innocent than they seem" and don't even question either of their stories. And they didn't necessarily have to figure out "Hey, this lady must be the assassin!" but they couldn't lock the building down until they figured out how this highly trained agent just fell into their laps? After all, it was their lack of asking questions and lax attitude that got that other agent killed earlier in the season, you'd think they would have learned their lesson by now.