The answers Vader gives to the question give him a lot to think about. The experience is alien, but in the case of his grandfather, it's easy to find sympathy. There's nothing particular to say to it, so he doesn't, particularly as it becomes obvious how much Rey needs to focus to do the healing, and how much Vader needs to focus in order to allow it.

The explosion of motion the moment they separate stuns him enough that for a moment he has no idea what to do. The impulse to run after her is there, but so is the urge to stay and make sure his grandfather is actually alright, since that had seemed trying for him as well. That, and he's not sure Rey would want him to follow.

He looks between his grandfather and the door Rey had just disappeared through, lost. It's only the words that make him act, and then he gives just a small nod before running after her.