There is, of course, Benjamin Butler's conversation with Lincoln about colonization a few days before the assassination. Evidence has been found that Butler did meet with Lincoln during that period. See White House scheduling pass for April 11, 1865, found in Butler's papers.
According to Butler, Lincoln was worried about what to do with black soldiers after the war. Butler proposed to send 150,000 of them to Panama to dig the canal. Since they were still soldiers, they could be ordered to serve there. Butler said that Lincoln thought the idea had some "meat" in it and that he would discuss the matter with Grant.
I thought he met with Sickles, too.
From a Sickles bio,
Sickles got anxious waiting for a new assignemtn. Biographer Thomas Keneally wrote: “Dan in his restlessness, wrote on December 9 [1864] to the newly reelected President: ‘I beg respectfully to remind you that I am still unassigned....I hope to be spared the humiliation of being dropped from the rolls amongst the list of useless officers.’ The President was motivated by Dan’s part at Gettysburg to find another task for him, and asked him to him to undertake a taxming mission. Lincoln needed an emissary to go on government business to Panama and Colombia. Greater Colombia, or New Granada, as the Federation of Colombia, Costa Rica, and Panama styled itself, formed one loose federal state ruled from the highland capital of Bogotá, Colombia. He was to leave by January with the purpose of persuading the Panamanian authorities to allow Union troops to cross the Isthmus of Panama, something they had recently prohibited. He was then to travel to Bogotá and raise, with the federal authorities there, the possibility of Colombia’s offering a home to freed black slaves, who were now pooling in Washington and in northern cities. He was, in one way, well equipped in that he had as a congressman got on well with the Colombian ambassador in Washington, the bane Manuel Murillo, who was now president of Colombia.”
There is other material I've found which, contrary to my memory, places Sickles in Central America the week of Lincoln's assassination; indeed, Sickles heard of the assassination by Indian runner, in the field. I'll send that long quote in extenso, and a link, by FReepmail.
I was probably thinking of Butler's interview; but as you point out, they were discussing Sickles's confidential mission.