Sif was not a person who took things on face value especially when it came to the sudden if not completely inexplicable resurrection of Thor's mother, the Queen of Asgard, especially as things were already strange enough as it was without adding further confusion into the mix. She much rather see things with her own eyes and come to her own conclusions before she followed aimlessly and blindly.
It was a lot to hope for that death had released its grip on Frigga and hope was both elating and frightening all at the same time. She had for the longest of times looked to Frigga as a role model and valued her opinion quite highly.
She and Thor had been away with Dr Strange trying to find out as much information as they could about the purple titan that was coming to bring doom upon the land of Midgard. It was however good to be home or as close to home as they could get without the familiarity of Asgard though trepidation did mar her normally fluid stride as she knew where Frigga resided within the warehouse.
Thor should of course have first sight of her as she was his mother at the end of the day.