I'm new here, but since no one else have answered I'll pick up the glove.

And yes, it is a reference to 'The Illustrious Client'.
So is Sherlock's line: “Mycroft I don't do anonymous clients. I am used to mystery at one end of my cases, both ends is too much work. Good morning.”, Henry's and Mycroft's insistence on the clients anonymity, and probably the bit about the case involving "a young, female person”.

In the original story Holmes is contacted by Colonel James Damery who wishes to engage him to break off the engagement between the young beautiful peeress Violet de Merville and Baron Gruner, because Gruner have killed his last wife, though this cannot be proven, and generally have a bad reputation. As Damery tells Holmes about the case he lets slip that he is not the actual client, the following sequence occurs:
Holmes: “I did not understand that you were an intermediary. Who's the principal?”
Damery: “Mr. Holmes, I must beg you not to press that question. It is important that I should be able to assure him that his honoured name has been in no way dragged into the matter. His motives are, to the last degree, honourable and chivalrous, but he prefers to remain unknown. I need not say that your fees will be assured and that you will be given a perfectly free hand. Surely the actual name of your client is immaterial?”
Holmes: “I am sorry. I am accustomed to have mystery at one end of my cases, but to have it at both ends is too confusing. I fear, Sir James, that I must decline to act.”
The man referred to in this case is assumed to be Prince Edward, the then Prince of Wales.


There is in fact one final reference to 'The Illustrious Client' in the Palace scene, though strangely enough I have never seen it commented upon. And that despite the fact that it is many people's favourite thing: The Sheet. (Capital letters used intentionally). While Holmes, when he speaks with Colonel Damery is dressed properly, the story starts out with him and Watson being at a Turkish bath and Holmes at that time being wrapped in a sheet, and one supposes not much else.


Yes I'm a canon geek. Problem?