We know that Zhao Yunlan has Regent Incense as well as Envoy Incense, and that the Regent has/had what was probably Envoy Incense which was crushed beneath An Song's foot before he could get word out. I don't think Zhao Yunlan has his own incense, as the Envoy can always just turn up and the Regent can send a smoke puppet (which is probably intelligent enough to find him wherever).

As for how it works, well, I suppose the incense smoke goes to prod Shen Wei's cheek and tells him where he's being called to? IDK the details, and we don't really get enough about it to speculate properly.