Since the notion that the vaults in the Scotland Yard building was so secret that only the workmen could have known about it has been brought up again, it should be said that there will have been numerous people transporting things to the spot who knew about the vaults, there will have been numerous people who knew about them after having been told by the workmen there - and it has been suggested that the vaults were used for sleeping rough in.
If this was the case, then the Whitehall victim may have taken the killer to the premises herself and been killed and dismembered on the spot. This, however, would require that the killer brought a fine-toothed saw along to the vaults, something that sounds decidedly odd to my ears, so I am opting for the idea that the victim was killed some place else.
If it was Wildbore, and if he killed and dismembered the woman somewhere else, then we must accept that he afterwards decided on throwing her arm in the Thames, whereas he took the torso and a leg down to his own working place and deposited it there, only to "find" it some time later.
I find the explanation with somebody holding a grudge against the police and choosing the spot for that reason more plausible.