In the Pretty Little Liars episode (Season 6, Episode 4), the "pieces" refer to the missing evidence of Charles DiLaurentis' past .
: Kenneth claims Charles committed suicide at age 16 by overdosing on pills and was cremated, but the Liars search for a grave or actual proof to confirm he isn't still alive and acting as "A". [S6E4] Don't Look Now
: Spencer discovers that Radley has closed and its medical records are being sent to the River Hill Davis Center to be shredded. The girls break in to steal these files to find information on Charles. In the Pretty Little Liars episode (Season 6,