The case was postponed to September 30 for further investigation, Brigadier Hangwani Mulaudzi said.
A fourth suspect in the matter, David Malatjie, 33, faces a charge of illegal possession of a firearm.
All four would remain in custody. The other three, Teffe Malangana, 23, Lazarus Moseamedi, 25, and Nicholas Moseamedi, 18, face charges of murder, armed robbery, and possession of unlicensed firearms.
Lieutenant Yezindaba Meshack Shikati, 54, was shot dead while he and Constable Carrol Machaba were responding to a complaint at the Mabuza tavern at Patanage village on June 29.
They were ambushed by two men armed with a rifle and a handgun, and their service pistols were stolen. Machaba was not injured in the attack.
Two stolen service pistols, another 9mm firearm, an unlicensed pump gun and ammunition were recovered during the arrests.