Why did Stephen Collins....
Why did Stephen Collins want Sonia Baker dead? For what reason?
"I'm not questioning your honor, Ser. I'm denying its existence"
I don't think he did - hence his further anguish when he hears that she was pregnant when she died.
The unstable ex-army guy who pushed her under a train had the mistaken notion that Sonia Baker would cause harm to Collins and so killed Baker to protect Collins' career and reputation.
The ironic part was that it was Collins who got the murderer involved, to find out what Sonia Baker was up to. There appeared no intent on Collins part for that investigation to turn into murder.