Her smile shifts a little, from amused to sympathetic, "That must be hard. I don't think I'd ever feel safe."

There's no need for her to fake anything, with that comment. As much as there are public superheroes in her world - Kory can't exactly pretend to be human - most people have a secret identity, and for all Steph isn't great at hers, she values it. Not having any anonymity would be awful.