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Since Kavitha is already in judicial custody, the court's permission was required to question her in jail.
The Ahmedabad native was produced before the court in Kozhikode on Wednesday.
Delhi prisons department on Friday said there was 'prima facie lapse' on part of some officials and ordered inquiry.
The CBI had told the court that Malik was a threat to national security and cannot be allowed to be taken outside the Tihar jail premises.
Jain has been lodged in prison since his arrest by the Enforcement Directorate in connection with a money laundering case in May.
According to prison officials, the incident took place around 6:30 am.
The plea had accused the ED of leaking the CCTV footage of the politician getting a massage inside the Tihar jail despite an undertaking given in the court.
In the video, said to be of September 12, Jain can be seen interacting with four persons when the Superintendent arrives.
The claims come days after the Aam Aadmi Party, which had drawn flak over the videos, asserted that Jain was receiving physiotherapy in the jail, where he is in judicial custody for the past five months over money-laundering charges.
The Enforcement Directorate (ED) had claimed in a court here that Jain was getting special treatment inside the Tihar Jail.