'I haven't seen that one mate but it probably comes back to your 50 Shades of Grey type, ' he said on Friday.
His departure caught Senator Hanson by surprise and underlined the instability of One Nation's federal team, despite what the party was saying publicly. Hanson, apparently forgetting they're public servants paid for by the taxpayer, accused the four of "disloyalty to their former employer and myself", and said they "were not welcome to this morning's Party room meeting" as a result.
The Senator was flanked by fellow conservative Senator's Cory Bernardi and David Leyonhjelm upon entering the Senate for his swearing in at Parliament House.
On Saturday Senator Hanson continued her tour of regional Queensland by joining Mr Dickson at the Buderim Remembrance Day ceremony.
"I've been out and around this electorate and I know Steve Dickson is going to win and I'm positive about that", she said.
It leaves One Nation with three senators and the government having to conduct separate negotiations on key legislation with Senator Anning.
Hanson said she tried to mediate and "find some common ground" but then Anning said he would stand as an independent.
However, eyebrows were raised when he was accompanied into the chamber not by Hanson or any of his One Nation colleagues, but by Liberal Democrats senator David Leyonhjelm and Cory Bernardi.
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Senator Hanson said she told Senator Anning of a desire to return Malcolm Roberts to the senate as it was in "the Federal Party's and Australia's best interest". "This was profoundly shocking to me as I had been a friend and supporter of Pauline for over 20 years ... the attack was so vitriolic that I was obliged to simply walk out".
Senator Hanson wasn't there and the two other One Nation senators - Brian Burston (NSW) and Peter Georgiou (WA) - watched from their seats.
"I suspect it was (James) Ashby that turned Pauline against me", Senator Anning said.
A Queensland One Nation candidate for the seat of Thuringowa in Townsville has confirmed he is the owner of an adult shop that posted an inappropriate reference to domestic violence on Facebook.
He had been aware of the tensions earlier but had been told by a One Nation senator at the weekend that all was well with Anning.
The Anning defection forced both camps into uncomfortable statements on Monday.
Mr Dickson said these projects would be moved along swiftly should One Nation hold the balance of power after the state election. It's also a blow to the party's Queensland state election campaign, where Hanson is hoping to pick up several seats, and possibly the balance of power in parliament.