Responses
He may be referring to his worry about disappointing Jesse. Every time the maid does something wrong or messes up she never wants Jesse to know, it's like she's not concerned with any opinion other than his and Law may be the same. This incessant need to always be seen in a good light by him even when you know he's aware of your true nature.
This has got to be the saddest chapter out of them all. Seeing Law crying really broke my heart. Jesse, would it kill you to be a little bit nicer? What did Law mean when he wondered how different he is from that maid to Jesse? Did he mean that he is insignificant and useless?
At this case, he could've strangles Jesse in reality and I wouldn't have blamed him. Although I was angry when he did so in Moritat.