"Have you ever killed one of us before?" She does Alex the favor of letting her go, allowing her to turn around so that they can speak.

"Let alone a very, very old vampire? I don't need to tell you what you're risking- chances are even if you kill her, you won't make it out alive." Which is why she's there to help. Someone just happens to know a few great ways to enter into Millicent's home.