This always happens, and Rita often suspects that Sanchez is using these moments to enjoy herself, insulting her just to get some satisfaction.
Rita noticed that Sanchez was more like a typical male protagonist than many male leads in novels. If anyone insulted her even once, she'd immediately want to kill them. Originally, this wasn't Rita's concern, but Sanchez, who must have received some order at home, would kill anyone who insulted Rita whenever they were on a mission together.
The problem wasn't just the killing; it was that Sanchez would repeat the insults to Rita with uncanny precision. Even though Rita had told her more than once that it wasn't a big deal and they should focus on the task at hand, Sanchez would only smile and make that gesture, a playful motion where she'd pinch her pinky, and say, "You're the benefactor of The White Family, so I can't get mad at you."