When he turned to look at the dwarf, he channeled his spirit energy into his spatial bangle and had it at the ready. Although he had survived the attack of an Earth Immortal before, he had been gravely wounded in the process. Suffice to say he could not go up against an Immortal on his own.
He also did not want to take any risks, or waste time arguing with unnecessary people. Not to mention, the dwarf might just be with the enemy, and simply pretending to cause problems to get closer. In short, there were more than enough reasons for Lex to be prepared.
"If you have a problem, take it up with the superiors," Lex said plainly. He was trying to deflect responsibility in the hopes that this would become someone else's problem long enough that they could leave. But of course, that hope was destined to become a disappointment.