Usually, I don't believe Fox News because they are very biased. However, as I was researching on this many articles from other news sources talked about this topic. According to an article from the National Review news site, sitings have been reported since September 2022. They are reported to have 102 stations across 53 countries with 4 in the U.S. They State that the reason, Chinese officials placed them there was to protect their citizens overseas however, that is in breach of the territory.
The FBI is also aware of the stations and during a recent meeting with the Senate, an FBI officer states how concerned he is with the station.
https://www.nationalreview.com/2022/12/chinese-police-stations-identified-in-u-s/
Other news sites like BBC, The Guardian, The New York Times, CNN, The New York Post, and US News has been discussing this same topic very similarly. So this leads me to believe that this claim is true based on how many news sources are talking about it.