Bennett said last week Davis had resigned as a director from the Australian branch of DataSouth. He did not respond to further questions. He said last month he was co-operating with the SFO.
He conceded there was missing money but said there was disagreement over the amount. "I never gained personally from it."
An unnamed executive told the Herald on Sunday that staff at the company had no idea Davis had any connection to the business until it was revealed in the Herald on Sunday.
But they had met her previously on trips to Christchurch in the company of Bennett, who drew the attention of some staff to her breasts. "Marlena turned up in this skimpy little dress and this new set of boobs. Gavin made reference to her having new boobs."
The executive said discussion followed the disclosure over whether DataSouth "owned" the breasts. "There were jokes about whether we should asset tag them."
Bennett's association with a string of attractive women caused great speculation among staff. He moved to Sydney about five years earlier after leaving wife Jane after almost 20 years of marriage.
Staff also encountered the women when they travelled to Sydney to work for Australian clients. Bennett lived in an apartment in a building called The Cove on the Sydney waterfront, which was the registered address for DataSouth in Australia. But he had another apartment which was used by staff, who he would also entertain during their stay in Sydney.
One told the Herald on Sunday of Bennett's taste for Dom Perignon champagne.
Another said he was taken to a number of Bennett's regular haunts where he was greeted by name and would order the champagne by the bottle.
Those places included the exclusive Cafe Sydney, at Circular Quay, and the classy Hemmesphere, where the cheapest bottle of Dom Perignon goes for about $480.
Also on Bennett's list of locals was "gentlemen's club" Minx, where the champagne cost $550 - although the rose sells at $1700 a bottle. The executive recalled Bennett talking of "this great little club down the road" before taking him to Minx - "a high-class strip bar with exquisite women where you had to buy champagne by the bottle to sit down".
At Hemmesphere, reviewed as "high class chic" by Timeout, the maitre'd would greet Bennett as "Gavin", expressing sorrow if he hadn't been seen for a few days.
The executive said Bennett was collected by chauffeur-driven BMW and Mercedes services even though he had a Lexus parked in the apartment tower's basement. "He had it for two years and it had 3000km on the clock."
The final Sydney trip came just before the Christchurch earthquake and the collapse of the business. Bennett hosted about 40 people, including his ex-wife, daughter, staff and "Gav's girls" for a catered 53rd birthday party at the apartment.
Serious Fraud Office director Adam Feeley said investigators were close to finishing the investigation.
Champagne, strippers for SCF visitors
DataSouth boss Gavin Bennett lavished hospitality on staff from South Canterbury Finance - the lender his business borrowed almost all its cash from.
Bennett is at the centre of a Serious Fraud Office inquiry after DataSouth collapsed with an alleged $23m discrepancy in its accounts. The missing money is owed to SCF.
SFO boss Adam Feeley said investigators had found cases of SCF staff enjoying hospitality. He said SCF staff had been spoken to about Bennett's hospitality.
The SFO was planning to take the issue no further, he said.
A DataSouth staff member said two SCF staff were known to have enjoyed Bennett's hospitality in Sydney. For one of them, the hospitality included a visit to the Minx Bar strip club.
