She once again appreciates the formality of it all, it is comforting to have her position be reaffirmed after most of the Dothraki left her, even if this other woman doesn't know who she is. Daenerys wants to push her further but she hears truth behind her words, she doesn't actually know where they are going.

"I see, you were kidnapped as well. Through my searches of this carriage I have not found one who matches that description. Have you happened upon a knight who goes by Ser Jorah?" after all this time it is odd to not have familiar people by her side, and he is one of the most familiar as well as her protector.