When he tilted his head, indicating where he was going, Xena shrugged, pulled her cloak around herself, and followed. He probably had more experience with these things than she did, and at least she'd have done what she could so that she didn't just leave the issue up to someone else. She'd taken the steps to get something - anything - done.
Conversationally, she asked, "How do these things work, do you know?" She gestured to the dial when they reached it. "I mean, the Romans have their furnaces and stuff, but to adjust the temperature, you have to send an order down to the slaves, that kind of thing. How do you do with just a dial?" It was the least of her questions about all of this, but it seemed the simplest one to ask.
She didn't want to get onto the whole how-do-the-lights work thing, or why-isn't-there-a-fire-anywhere. Seeing as he didn't look too knowledgeable, even about this one thing, she didn't want to keep bothering him with questions he couldn't answer. Wouldn't be fair to either of them, would it?