He's glad to hear that she doesn't hate him. It's hard to hate someone just on principle, without getting to know them. The only people that he hates on principle are killers, particularly serial killers. People who are cold and have no regard for anyone else. He knows that's not Roxy.

"I punched a sheriff after he shot the serial killer that we caught instead of letting me take him in so that I could question him." Malcolm sighs. "That was kind of the last straw though. The Bureau and I weren't really seeing eye to eye. My methods can be... unconventional. I think they saw me as a liability."

That particularly hurts to admit. Being an FBI agent was all he wanted to do for years and years and he blew it with his erratic behavior.