If Catalina knew what his initial thought had been, she wouldn't have been surprised, but she also wouldn't have been able to open up to him in any capacity--she would have simply walked away. Diego was by no means a comforting individual, but she wasn't looking for that from her father. All she wanted was a little compassion and understanding; and if he truly wanted her to open up to him, she'd also need a judgment-free zone, a safe place, to do so, but that was about as likely to happen as a shark eating her on dry land.
Yet that was the most sympathetic thing she could remember him saying in a long time, and since she really didn't want to have to feel like she couldn't tell her family about her marriage, she chose to trust him. But if he reacted in that disappointed way of his, she likely wouldn't be telling him anymore important details for a while.
"Keith me dejó. Él pidió el divorcio mientras estábamos en París," she replied, still not looking at him, just in case he made the disappointed face anyway.