His expression flickers briefly, only because he's been thinking about the price of protecting someone, but also about what it takes to think one's self worthy of protection. Claudius didn't have anything of the latter. In small ways, he thinks he must have denied ever needing it¹, downplaying his fears because if he were in true trouble, he would never have asked Lan Wangji for help. It always had to be some small, trifling thing, nothing important, just his life. "I know that well," he says, and laughs. "I didn't even tell her of the attack of the undead -- though that would've been quite the story. I would always tell her stories, when I went abroad, and I missed telling her as much as she missed hearing them. You'll be pleased to know that I did tell her the truth of my feelings." It's a bit teasing, but with sincerity behind it. Lan Wangji's earnest advice to Crowley reminded Claudius -- he would always regret and wonder what may have been, if he hadn't told Gertrude that moment in the greenhouse. None of Claudius's confessions of love had ever come easily, but they were all necessary.

¹ Small ways? Claudius, please, it's every time.