It would sound rude coming from anyone else. But Maru did literally just explain to Madoka that he can't help but be tired all the time, so that knowledge makes it really hard for Madoka (especially for ever-forgiving Madoka) to judge him for it or think he's rude. He clearly was just way too weak and sleepy to pay attention, that makes sense.

Besides, he's paying attention now! It makes her feel a little special that he's willing to listen to her explanation now...

"Like I said, we're on a train." He hadn't seemed confused by it earlier, so she figures he must know what those are. That's a good start. "But not just a normal one travelling on train tracks. Instead it's moving through.. um, well, it's this space between different worlds that's called the void. It sounds a lot scarier than it really is!"

Sure, he probably doesn't need the reassuring. Not as much as Madoka would, anyway. But she's saying it anyway. Just in case! They're Eve and Servamp now.. or.. partners? Friends? She's not sure what label to put on it, but it just means his comfort and happiness is important to her already.

"And that way this train travels to all sorts of different worlds that are in need of help. And when we arrive there, we go and help out fight enemies, or protect people.. Those kinds of things. We're kind of like a team of heroes travelling from world to world to protect those worlds."

Madoka pauses a bit, and then laughs awkwardly. "Though I'm not much of a hero, but that's probably obvious.."