The nickname makes her eyes slightly less severe. You could almsot argue that she might be amused by it. Maybe. Her expression is too difficult to ascertain most of the time. She shows people what she wants to.

"Some under my protection. Some a concern." The little Steve Rogers would fall into the first. Though she's tried rather hard for him not to know about her, she keeps a very close eye on him. As for the latter category...

"Worried about directly? The officer holding this gathering has a supernatural affinity toward fire and fights demons. You've got a few supernatural hunters, several mages, and a mentally unstable kid who tortured his friends all gathered here. And that's just for starters. Take your pick, really." She sips her drink.