Kylo is surprised for different reasons when he senses that familiar presence drawing near. He's been blocking her out as farther distance, much as she'd done to him for so much of the time they've known one another. The news of her tethering with the one person here that he can't remotely trust had stung too much to do otherwise.

And yet, here she is. He doesn't precisely have an explanation for that.

He does catch the way Vader identifies her, and he nods in reply. Yes, his Rey, much as he's less inclined to claim her as such right at this moment. She is the person he's bonded to through the Force, regardless of what either of them might feel about it at any given time.

The further comment inspires a frown. "I'm not the one she should be worried about." Despite saying that, he has no doubt that the underlying assumption is correct. Rey wouldn't have come here out of any concern for Vader.