Not sure they'd know she killed Stannis, either. Unless people at the Wall are telling the Lannisters things.
Overall, I look to more at an attempt at civility. Even if they aren't technically allies or enemies, it's probably a bad idea to ignore the presence of a third party without knowing just what they'd arrived for. Under different circumstances, it could've easily been Brienne saying, "Yo, we got an army to assist them. GTFO unless you wanna lose your dudes in a pincer."