Both were there for a separate matter on Thursday.
On Wednesday it was revealed police interviewed Walters and charged her with incitement to commit conspiracy to murder the Victorian secretary of the Construction, Forestry, Mining and Energy Union.
Victoria Police said in a statement a 46-year-old Footscray woman had been charged "after she allegedly attempted to acquire a firearm and made threats to kill a man earlier this month".
Investigators searched a Footscray home and seized a mobile phone.
She is charged with incitement to commit conspiracy to murder, incitement to acquire a firearm and making threats to kill.
Walters told several media outlets on Wednesday she denied the allegations.
Setka and his estranged wife have been involved in a long-running legal battle involving allegations he committed acts of domestic violence.
Walters is suing the Victorian government over claims police failed to protect her.
Setka has denied allegations of domestic violence but in 2019 was convicted of harassing Walters.
She has been bailed to face Melbourne Magistrates Court on Wednesday.
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