Percy was aware that their dreams here overlapped, had gotten the idea when he first started dreaming about her, but as his dreams continued, it became obvious that where he was and where she was were not the same. Her appearance and her talk of her most recent dream only solidified that, and yet, Percy wasn't afraid to hear what she described. From what he understood of his dream-self, as vapid and ridiculous as he might have appeared on the surface (not unlike Percy himself here), he would undoubtedly involve himself in greater things that could potentially get him killed. In his dreams, they lived during the French Revolution and all the dangers that came with that. While Percy was unsure of exactly how he would come to get beheaded, he was aware of how he had come to get involved.
The only thing that he regret was seeing Marguerite so upset by his death. While their relationship — marriage, to be exact — was strained in his dreams, he knew of his current feelings for her, and what he could infer from his dreams on their relationship and knew that they cared about each other, though the betrayal had injured that love.
"It is quite alright," Percy stated, keeping his voice calm in an attempt to quell her panic. "I remember telling you that my door was always open if you needed to come see me." He had meant that when he had said it to her, and it wasn't a matter of convenience. If it had been, he would have put guidelines on his offer, but he hadn't. "You're welcome here no matter the time or the day."
Without leaving the room where he had gotten her to sit, he grabbed a throw blanket to tuck around her shoulders to try and bring some warmth back into her. "I'm afraid your dreams are further along than mine, but I wouldn't have died without knowing that you and your brother would remain safe. There is some solace in that." It was not the most uplifting answers, and Percy rarely ever wanted to express wanting to be a martyr out loud, but he was certain of it. Through everything, both of them still meant a lot to him (he was having trouble separating himself from his dream-self) regardless of what happened. It would have been a shame to be lost in the height of his endeavours to counter the Revolution, but he doubted even that version of himself with a steeled heart would let the woman he loved and her dear brother die without trying to ensure their safety.