Natasha has a high opinion of herself so when she says You're welcome, James he just takes it as a quip about how she'd figured out why there might be gaps in his time as the soldier. He doesn't take it badly because Natasha is awfully smart and damn good at reading people and dissecting tangled webs.

"Maybe I should have belonged to the Red Room instead. I'm not the beautiful ballerina they want, though. My dance is a lindy hop and I don't think I could get this body into an Écarté Derrière or À la Seconde. And before you ask, yes, I know a little about ballet. I've never done it but it seems to be packed in with random soldat knowledge. It's like an encyclopedia up there."