Stephen was probably the calmest of the pair about this whole situation. Cosmic things like this happened all of the time here, a couple's yet unborn child appearing out of thin air. He was not disturbed by this, just wary. There was no way she could have broken into the Sanctum unless she was at least of his blood or Zatanna's. That was how he'd set the wards to the place.
It didn't take long for them to get home, and since Arabella had said that he needed to tell Zatanna that he loved her, he'd been thinking about that conversation ever since.