In episode one, Grace meets Elena for the first time during an auction committee meeting. From the very beginning, Elena seems particularly taken by Grace and she makes sure to let her know how much she appreciates her kindness. Their encounters are pretty brief, but Elena feels comfortable enough around Grace that she kisses her during their last meeting at the charity auction, which happens to be the night she's murdered. We don't really see a reason why Grace would have killed Elena, as she seems genuinely shocked when she finds out the news.
However, in episode three, Detective Mendoza (Édgar Ramírez) shows Grace a surveillance video that puts her at the scene of the crime around the same time Elena was killed. Grace remains adamant that she had nothing to do with Elena's murder, and it turns out, she wasn't lying.