Self conscious or no, Caleb had no problem admitting that Margaery was beautiful though he didn't try to be respectful and tried not to stare. With a smile, one of his bests, he shook his head.
"Not at all," he said stepping closer. "What do you need me to do?" Mentally he gave a sigh as his constant companion snorted in response to his efforts, not that he let any of that show outwardly. There was no need to scare her away and have her running for the hills before he really had a chance to get to know her.