Shocked. Thrown. His own brand of guilt. Equally and everyone steps over the 象, 大象 in the room here. 由 telling him this, she has made her declaration of choice. She chose Arthur. She entrusted his safety to the one person she knew had the honour to do so, at her word. We know Lancelot did it for Arthur, Gwen, Merlin and Camelot, but she is telling it from the only perspective she knows because SHE made the ask. So yes, it throws him but equally he knows the depth of guilt she feels in the moment and so comforts and gives 太空 for grieving, though he has his own to bear.
The answer is just there, look at his facial expression. It says it all. He was shocked, surprised and speechless even. He never thought that Lancelot would do such a thing, but than again he's a man of his words. The most noble and bravest knights ever. Sometimes, we meet someone and learn about their character and when put to the test they surprise 你 或者 even amaze 你 for what they done. That's the case with Lancelot. He made a promise and kept it to the end. Gwen feels guilty because he kept his words and of all the knights she's the one that she trusted to protect her man. Lancelot 说 to Merlin that Arthur loves and she's happy. Arthur understood the pain that Gwen was feeling, held her hand and left to grieve 由 putting his hand on her shoulder saying that 你 are not alone, am here.