On one hand, Christopher was worried about Fanny's health, and on the other hand, he was also concerned that she would overthink when she noticed the person following him, so he avoided the topic and asked her why she hadn't gone home instead.
The excuse he gave to the bodyguard about needing his phone was simply a cover-up. Christopher knew that his phone must have been left behind on Scarlet's bed, so there was no need to involve Fanny.
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