It's interesting to rewatch knowing that the person they're tracking IS Loki, because a lot of his approach is trying to a. break Loki from his delusions so they can actually talk and b. trying to better understand his potential enemy.
He takes zero shit but in a subtle charming way and keeps challenging him at every point. I love he's the first one to respond to Loki with rational questions like. "Okay you're King of Earth now what." "OKay you're King of Space now what." LOKI DOESN'T KNOW LOL. That's why when he became king of Asgard the nine realms fell into chaos.