When you first talk to her, she doesn't have much to say beyond slamming her daughter-in-law. You need more information about this situation.
Go back to Madison and repeat Penelope's claims (kids, don't try this at home!), and Madison will defend herself with more information.
She says they gave Penelope a key to their house, and that it's in her room at Seagram. Any time you hear "key," don't your game-player's instincts all fire up? Yes, we want that key, though you don't know why yet.
Go back and talk to Penelope about the key and everything else Madison said. She denies it, of course, and starts to talk -- but then she suddenly gets cautious and says she won't tell you any more about Gavin until you get her peridot pendant back.