Does he want to ask why there's dismay in her tone of voice? Well, no, but he figures he should. Worst case scenarios have to be taken into account when people's lives may be at stake.

"Such as-?"

He asks in that same respectful manner - truth is Steve's borderline demanding answers, but he doesn't want to come off that way. He's been given no reason to be antagonistic towards his hosts, and he'd like to maintain a decent dynamic for as long as possible.