Balthier would hardly find it embarrassing but of course he would want David's comfort, and not to be blasé with something David wasn't comfortable with. He's brimming with warmth at David's comment, though. He intends to keep David close all night, regardless of how heated they are.

And all he was looking for was "will not make the delivery man immensely uncomfortable" so that's enough to send him to the door, where he uses full Balthier bravado to receive the food in pajamas.