That's not surprising. It's a rough reminder, that myths exist for a reason, that larger than life beings still have their trauma and even if he's not familiar with Thanatos's specifically.

"Well... I had a good man save me from my shackles a long time ago." Someone that's been weighing heavily on his mind thanks to that damn aggravating kaleidoscope bastard. He's hyper-aware of the pedestal he has him on at the moment. Even people telling him that he shouldn't have him up there can't convince him to put him down to ground level. "He also showed me how to get out of 'em should I get caught in the future. Figured I'd pass it on."

So other people might have that feeling of control returned to them. Sure, they can't leave the train. But he'll do whatever he can to maintain whatever shred of freedom he can reach for. Even if it's knowing how to get out of a jail cell.

He looks over the various sets. "What kinda precision do you got with your abilities? Or are you good with your hands with any small kinda artsy stuff." Funny questions to ask death. "Even if we started from scratch I think I'd be able to show ya somethin'."