Compared to how composed they were the last time Lex met Shireen and the rest, they were already quite shaken. The severe uncertainty of their situation, of whether they would be abandoned, used as political prisoners once more, or possibly even returned back to the Resort all weighed on their minds.
So then further pushing them to feel vulnerable might sound like Lex was taking advantage of them. Unfortunately, Lex himself did not have room for excessive empathy. He himself was in a very vulnerable situation, so he had to gain every advantage he could. Besides, it wasn't as if he was going to harm the angels in any way. He just knew that with their stubborn nature, they would not help him if he was straightforward, so he was creating the right environment to facilitate their future partnership.
