Lily is not an excellent dancer; she's not very musical, and she had a handful of lessons as a kid, then the lessons to dance with James at their wedding. She is noticeably tense upon taking to the floor, and the obvious attention and gossip they're garnering doesn't help, but she does relax a little when it's easier to follow Lucius's lead than she'd been expecting.
Which gives her the mental space to think, and then ask, "Is a point being made here?"