Yea, I would go on to state that MSG is 'fucking dumb'. Now, I don't know how things work in NY, but at least where I'm from the lawyers do not go to your place of business and ask questions. They go to the courts and put in a filing for demands. If anyone shows up to question employees it's going to be private investigators that are seemingly unaffiliated and you won't know to block them in the first place (NY law might be different here).
To me this screams "MSG is doing illegal/contract breaking shit"