This scene is when Dolores the fourth child of Frank Sheeran was getting baptized by Rusell. It is at that very moment Frank was saying
Russell and Carrie baptized our new daughter Dolores. It was wonderful occasion and we were honored. Everybody showed up.
Then we see Peggy giving a weird look to some people. I guess they were gangsters as he said "Everybody showed up."
I am not able to understand what these looks are trying to signify and what role does it play in story telling. Is she skeptical, afraid or what?