Dan looks confused, not so much at Henry as about the fact that he just confessed to ignorance about something inconsequential and irrelevant to anything happening around him right now. Surely if something's on his mind it should be the arrow he just got winged by and the miscreant who fired it.

He isn't confused that Henry doesn't know he's illiterate. Lots of people at the Pole know, but Dan doesn't exactly advertise it. And, well. Henry's got a full box of stubby crayons in that head of his. "That's alright. I'm sure you got a handle on it. Try me."