Calista had made arrangements to meet with the strange woman who supposedly knew Kyle. She didn't know how to process the situation because, ultimately, this was her betraying Kyle. That was why she hadn't kept him in the loop—there was no telling what could happen if he knew. It could be the end of their relationship, but if she met the woman and nothing happened, there would be no need to tell Kyle, either way.
Calista knew she had little to lose, but she was aware it had to be somewhere where she wasn't well-known. The last thing she wanted was to be recognized and have pictures taken while she was with this person.
She arrived at the location with Lorenzo, the first time they were meeting outside of work, which showed that Lorenzo was interested in deepening their bond outside of the office. This was understandable, as having a colleague in the industry could be helpful, but unlike her, Lorenzo wasn't as famous, despite his good looks.