"Thank you Obi" Margaery said softly, once he'd explained. She had no idea why a bounty hunter would be here but then that wasn't surprising. If Obi had no idea then there was no way Margaery would.
It did however serve as a reminder that things from the dreams weren't always just things from dreams, it made her wonder and worry somewhat about if or when the Lannisters would make an appearance.