Interesting how we differ on some of the characters. Pennington's behavior in that situation didn't strike me as inconsistent so much as vivid commentary on his state of mind and the kind of double-life he had been leading up to that point - mad with grief and yet scared shitless of being found out. And being a reporter, his mind probably reflexively went into a "what's the evidence for this?" pattern, except this time to bury rather than gather it.
Emotionally he's almost child-like in a way, what's with his internal hissy-fits at Oriana's cooler treatment of their relationship.
Regarding Quinn I don't entirely disagree ... I enjoyed reading his parts, they were good, solid fun, but so far the character didn't go much beyond the thief with a heart of gold
template. I hope he'll be fleshed out a bit more in the next books.