“Believe me, I've seen what it's like with just three of them.” It's not in the Master's nature to worry about a given situation. Yes, it might seem terrifying and awesome to a human (although he's certain that's not what she is now) but to a Time Lord, it's a hazard of a big and scary universe. Very bad things happen. He assess these situations, and exploits them as best he can.

He might complain loudly, or sulk violently, or mock those in the same environment, but for now, at least, he's more curious than fearful. And deranged enough for plenty of coping mechanisms to kick in.

His more immediate concern is this being in front of him. She does give him the jitters. “Please, I've been trapped in far worse places. On a pathetic piece of rock known as Malcassairo -at the end of the universe; and compared to the Time War.. .this is a doddle.”