It's fair for her to be a little weirded out that some random person knows of her by name, although her response more or less confirms that Steve's right. Good, now he has a face to put to the name.

"Sansa is a friend of mine. She told me a little about you when you first got here." And asked him to watch over her, but Steve doesn't mention that part. He knows how much kids hate feeling like they need to be taken care of.