"So, why do you flinch when they laugh? It's a subtle thing, but... your ears start twitching, your body stiffens, and your eyes get this... panicked look in them. We may not know each other, but... I can't help but worry."
King Sombra has won. The Crystal Empire will soon reign. Twilight, a prisoner, wasn't expecting her captor to visit her. Nor the conversation that came with it.
Princess Celestia understands that being an Element of Harmony is dangerous, and that Twilight and her friends are bound to make enemies. So, naturally, the only course of action is to send a guard to keep them safe, even if they don't know about it.