"Why would she do that?"
"I assume because she did not want to blindly follow this fake Jimena or fake Winston's wish. She must have been coerced by him to steal it, probably using a threat or something. However, she had no intention of just following the instruction through. She probably didn't believe the culprit would let her go once she gave the painting away, thus she hid it and tried to use it to negotiate with the culprit."
"But I suppose the negotiation failed," the Captain commented.
"Yes, and probably in a fit of rage, she was killed, along with the guard that was supposedly in charge of her."
"If it was the Jimena or Winston that came to talk with her, it made sense that the guard I appointed to watch over Joselyn did not react until the culprit has made his or her move."