It takes Galadriel a moment to fully realize what's going on and to decide what to do about it. It's really only the fact that she's befriended a few dragons since coming to Paradisa that keeps her from running out of the room immediately. Besides, the creature could clearly break the window if it wished to; better, in this case, to comply. At least at first.

Still, there's a marked hesitation before Galadriel approaches the window and opens it.