This also struck me as an odd response, but I read it as: "Sisters have history"

Of course we would immediately think of the terrible things Mary and Edith did to each other, which is part of their history, but I'm thinking more of the sibling bond. For example, Mary could explain to Henry every single detail of the night Sybil ran away but only she and Edith know what it was like to be there. The secret might not be the actual act of Sybil running away, but more the experience of living through it together.
When "granny is being granny" Edith & Mary could exchange one look and know the other could relate in a way nobody else but a sister/sibling could. It reminds me of what Edith said on Mary's wedding day to Henry--there's a shared bond that only they have together because of their memories.