Finnick gets self-conscious and a little defensive. Eames clearly doesn't think it's that nice, judging by the look on his face. When he was avoiding the subject of Annie - no, that's not fair - when he chose not to bring it up, this was partially the reason. He's constantly questioning himself already, the things that make him happy and whether it's true happiness or something more selfish, because he just can't tell anymore. When he's with her, when he talks of her without fear of judgement he knows that the feeling is love, but any doubt or criticism leaves him wondering about his own motives.

"You don't approve of relationships like that?" he asks, and it's like he's handing Eames a silver-tipped knife. The wrong thing could undo him for the rest of the night, but he can't help himself but ask.