Found this quote at the Atlantic:
"There are a few options for why Grace didn't do so. At the time of the Arias verdict, Grace was also anchoring CNN's Headline News. It's unclear if she was at the time that Banfield was speaking with her, but it may have been too cumbersome to remove her microphone, etc., and simply head down the street. (Requests for comment from CNN were not returned.) It is also possible that Grace has a contractual stipulation that mandates she not appear on-screen with another CNN personality; we frankly don't watch her enough to know. A third possibility is that there was some sort of physical obstruction that we couldn't see. Maybe a force field."