She isn't afraid. She's seen scarier men than him, scarier creatures now. Her roommate is an owl for goodness sakes, and a giant moth man is... Well, it's not his fault he's scary looking, is it?

"That's because near everyone here has gotten used to it. Found a way to thrive, even." That was her, thriving with her friends in this strange place where she was friends with queens and vampires and owls.

Also, there's the fact that she's convinced she's going to hell when she dies, so she may as well get used to the denizens. Not that she knows Valentino is one of them.