again confused

[lulu-holic.livejournal.com]

while i was watching code geass r2 ep9 for 5th time hoping to find some hits from schneizel-nii-sama for his aims or future planing and etc..., and there was only one scene that i didnt understand. when lloyd interduced Kanon to Millay as a subordinate of schenizel and Kanon replied " nothing in private" then Milly blushed, why did she blushed?? i dont think he said something embarassing about her or how beautiful she looks...??