They are worried about Killer, since the fire is spreading throughout the 3rd floor and they must leave it as soon as possible.
Why did you cut off my arm!!? Marine and maybe some more visitors show up and an all out war starts on mainland Wano's flower capital.
Locked in, the cook would feel a little bit less fear of the possible lack of emotions and also be pretty much relieved about being locked, a big point of Germa's weak emotional response is their incredible apathy towards anyone, to the point where collateral damage is totally acceptable with no care in the world about friends or foes being damaged, Sanji's fear is completely understandable here.