In addition to being closed off, Zed is really far too self-absorbed to care much about what other people might think or feel. It is indeed a bad combination as far as small talk goes.

Zed's expression darkens. "She doesn't need to be here. She's not suited for this." Which might be a weird thing to say about a giant marshmallowy monster, though he doesn't see her in any sort of weird, monstrous light. "You were just watching me do what we're supposed to do in these Games." Which is as bland and evasive an answer as Zed can manage, really.