This discussion may contain spoilers!
We know for various facts that Lily had been working for George for a considerable amount of time. That she was Woodsman's regular and that her sister Holly knew that she had been working as a prostitute. So, why did Holly and Grendel have reported her disappearance?
We know that, after we walk in Crane's office, he asks Snow to call Vivian for his "massage", which turned out to be his "Snow's fable role-play with a prostitute", and that it happened... we've been at the scene and even found photos of it. Lily was murdered after all that. Way after she was reported missing. But why, if all suggests that she was working normally?
She asked Faith to cover for her agended visit to our pal Woody, while she went on her special program with Crane (come on, he had to be paying a lot for that... Snow even mentions to Vivian that the price of the massage can't be right). Nothing suggests that anything out of extraordinary was going on. She was just working for Vivian/George like always. Something must have happened for Holly and Grendel to become worried about her. But even after Lily's death and her funeral, they said nothing about anything unusual. But why if it's in their best interest to help the investigation? Can anyone make sense of it?