According to Grace, she was certain she had caught sight of Finn last night at the nightclub. However, a lot of things were happening that night, and she couldn't focus on everything else going on. Therefore, when Grace had the chance, she checked the CCTV footage.
Finn wasn't captured on the CCTV footage entering or exiting the bar. Grace double-checked, and she was sure of that. Hence, it bothered her.
Grace wasn't the type to confuse anyone, but at the same time, the situation last night was so chaotic that she could have mistaken it. That was what Grace had said before she left Penny to rest.
"I don't think she's just confused, though," Penny mumbled, squinting as she spent her alone time mulling over Finn. "Grace might've shrugged it off as something to distract herself, but she's not like that."
In other words, Penny believed Grace didn't see incorrectly.
