As with many things pertaining to Asmodeus, Bruce's response to the chuckle is one part caution - amused lord of hell can be a terrible sign - and one part being legitimately somewhat pleased with himself - amused lord of hell can also be a very good sign.

Meanwhile he's nearly so distracted by his curiosity being pointed in a specific direction, with a potential for real information and answers, that he barely registers what Zerxus said for a moment or two. He doesn't do it, but the impulse is to get up and go

Once he does: "You didn't wake me, you can't hurt me, and there's no surprise in your having nightmares. Is there something less to warn me of?"