"We're gonna win this thing!"
Yes, it was indeed a misguided reference to the DeVecchio case:
After all the speculation that Agent Harris might turn Tony, instead we saw that Harris had turned, passing along info on Phil's whereabouts and cheering, "We're going to win this thing!" when learning of Phil's demise.
"This is based on an actual case of an FBI agent who got a little bit too partisan and excited during the Colombo wars of the '70s," says Chase of the story of Lindley DeVecchio, who supplied Harris' line.