"You are absolutely right in that statement. Indeed, I am amazing. It's not a secret."
Zaheed had no problem with Deborah believing she was amazing, no problem at all. But it was not until she had said, "Well, you're not so bad yourself. But I can understand that's it's hard to surpass someone like me." It was that second sentence that bothered him the most. Zaheed saw it that because he revealed his weakness, that she found Zaheed lesser than her. Even though she may have been fair from what he assumed, Zaheed starting to believe it was mistake displaying his power until it met perfection. However even when she did say such, Zaheed's face did not change, in fact, anyone would think he was not offended, not offended at all. His face didn't change, he did not saying anything but, "Is that so?", but even then his tone did not change.
The reason why Zaheed summoned Deborah in the first place was not only to show how he could transfer heat by either absorbing or feeding it to other sources, this sources being living breathing bodies, but also so that he would hear her advice or instruction of how to overcome the hindrance. But now, he feared he asked her, he may sound weak, and if there was one thing Zaheed hated to be it was indeed weak. He already let enough walls down, and at this point he was not in the mood to ask. He was not curious nor was he open to hear anything else she said.
But why did Zaheed continue to act like he was completely fine? Thanos men were always taught if you have a problem with someone then either work it out, but if you are not willing to do even that specifically at that moment slit their throat, or have their head on a pike. It is better to settle your problems right there and then rather than to brew a storm of revenge. But Zaheed was one to wait, because it was not all the time that the settled things or that he resorted to violence, such as with Zotar. Instead Zaheed waited for either the perfect time to strike, or the perfect time to make a comeback. And that was what he was going to do with Deborah, wait until he was strong and able to show dominance, bring a comeback.
Though for now, he exited the dungeon and retreated back to his study were he then continued on his path to becoming that god he pictured himself to be.