When Grimes asked her what she wanted him to say to her husband,she replies something about being "well taken care of". And after Russell shot Grimes as he was tumbling down the hill, you could see her shadow as she helped Grimes back inside the shack. Something up there.
Sure. She was banging Grimes. That's why he insisted she come along with him. The Favor's marrage was not one made in heaven. Then Grimes puts her out in the sun to die. Quite an unpleasent fellow eh?
It's certainly a plausible interpretation, but it's difficult to see how such a refined woman would've found the company of, let alone the bed, of such a sociopath. Then again, I can't see her living on an Indian reservation for years either.
I admit that the possibility of her colluding with Grimes and gang didn't occur to me during the film, because my only thoughts in that regard were wondering whether she actually knew/approved of her husband's larcenous behaviour (almost certainly she did), and thinking it strange that her husband and the other characters appeared blithely indifferent to her fate in Grimes's hands.
No, Mrs. Favor wasn't in cahoots with Grimes regarding the robbery. After she and Grimes got "aquanted" she was just going with the flow. Just trying to survive by any means, so she figured if she cooperated with Grimes and gave him what he wanted, he'd in turn treat her honorably. She figured wrong.
Remember the way she insisted to absolutely get a stagecoach. It seemed clear to me she was fully informed of her husband fraud and why they had to leave as soon as possible.
Also, considering the bandits had to know about the money, it is highly plausible she was in cahoot with them.
Another interesting detail : in the stagecoach, she did not care being side by side with Grimes. However, Grimes is rude and we can assume he does not smell very good. No way her husband, at the very least, would have been between her and Grimes.