Lambert can't really say 'it's fine' with any honesty, but he really should have predicted Steven would do what Steven wanted whether he took him along or not. Regardless, there is one obvious thing to say:

"Well, we're here now," he says, matter-of-factly. "So let's go find it."

Without waiting for any agreement, he concentrates on the idea of the mark he can't see, calling on the Gilded Mark's power: find Steven's gem.