Yeah, Phalanx hears that sigh and is picking up on the differing demeanors between the two men. Unlike many of their other expressions, the current look of caution and skepticism is pretty clear on Phalanx's face, glancing between the other two.

"Are we...?"

And that's as far as the poor confused creature gets before shrugging into the tangle of cloak and blankets they're still caught up in and giving up on words. Usually this is the part where someone kicks them out of the building or calls them names and informs them of what kind of monster they are. So, Phalanx leaves the air open for one of the two men to fill it with whatever is going to happen next.