Beneath all of the cold void of the Borg persona, Jean-Luc absolutely needs her. He needs his people. As much as he had fought for years against needing anyone, his crew had become a necessity in his life. And here within the prison, Helen had slipped into that necessary category as well.
Upon hearing the name, however, it isn't Jean-Luc that turns to look at her. It's the detached Locutus that stares back at her. He tilts his head almost mechanically, seeming to register her presence and what she means to the other sentient being occupying his mind.
"I am Locutus of Borg." And he expects to be addressed that way. "Captain Jean-Luc Picard, designation human male, has been assimilated.