...
Question. Were you in the building at the time.
Oswald. Naturally if I work in that building.
The only question we can hear is "Did you shoot the president?" and to this Lee says. "I work in that building"??!
Bit of a non sequitur, no?
So could "the building" have been mentioned in one of the questions that we can't quite make out?
Why mention the building like that unless both parties know of it?
Otherwise the next question to him should have been, "what building is that?".
One other thing, "were you in the building at the time.... (of what?)
"at the time he FIRST LEARNT of the shooting?" perhaps yes, other people went back inside and only then learnt of the shooting, the most famous of all is ROY TRULY despite his embarrassing attempt to explain why he was close to the steps seconds after the shooting.
Darnell tells us the truth. He was walking back toward the building before Baker suprised him and Marrion had no time to relay the situation to him at that time.