At least the girl does seem to consider his words. Sure, she thinks that part of his insistence on this may have to do with - what she perceives as - Crowley's flair for the dramatic, but on the other hand, she won't entirely discount his point.

Even though Alice was mostly just annoyed by those invisible monsters, she did see a lot of other people who seemed genuinely scared. There might be some merit in the idea.

"Alright, then, but.. does it really have to be a sheet? If you were to do it in the spa carriage, you could make it hide underwater instead. I think that would be far more frightening."

Granted, this might be a sentiment that's mostly being carried by her experience of swimming while there's monstrous fish around.

It always sucks.