If they had a gentleman's agreement, wouldn't they come up with a better story as to what they were doing before she disappeared?
If they both knew she was dead and couldn't refute what they said, they could have made up any story. This whole matter could have been filed away so easily as just a tragic accident, without murder theories. It was Thanksgiving weekend. They could have said how they were celebrating on board, drinking it up. They all had too much to drink. Natalie especially so. She got a little sick, got a headache and retired early while the guys stayed up, drinking & partying, being loud and not hearing her yells for help.
Instead, both men told the police how they had gotten into a fight with each other (and maybe with Natalie,) and she left the room. Wagner had been in 2 cop drama TV series,
Hart To Hart, &
It Takes A Thief. So he has to know when an alibi sounds fishy and even makes someone seem guilty. Walken also seems smart enough to know that saying they had gotten into an argument is going to put them both under investigation and in a suspicious light about the incident, possibly forever. But, they thought she possibly would be found alive, so they told the truth.