Turns out, David Redington's father, the Duke they spoke of, thought Lily Gray was the girl David was fond of.
On a whim, he had Winston bring Lily Gray "home" for him to see.
Winston was notorious, known as the "human killing machine".
But he was also a man who didn't understand human feelings or the way of the world.
After receiving the order, he assumed Lily Gray was a target the Duke cared for.
The Duke was unsatisfied with her, so he planned to abduct her and intimidate her into leaving his young master.
In short, due to all the misunderstandings, Winston treated this "invitation" as a mission.
After he arrived in Eastonia, he made some preparations and planned to kidnap Lily Gray directly.
Who knew that on the way, he would encounter Lily Gray being kidnapped by another group of people.
So, he coincidentally intercepted that group of people.
From their hands, he rescued Lily Gray.
However, he later discovered that she had blood on the back of her head.