You've never had a friend before.
Sure, you knew people on Jakku. Everybody knew people; you could hardly survive in a place like that without some idea of who was around you, who would share a sip of water if you were dying of thirst and who would sell you out for a quarter portion. You weren't friends precisely. You just did what you needed to do to survive, and usually that meant helping the next guy to survive too.
Finn is different than pretty much everyone. It could just be that he's not like anyone on Jakku, but you are pretty sure that there isn't another like him in the whole universe. He's...very odd. But good. You think that you like him. You think he might be what they call a “friend”.
You've always wanted one of those.
In a very short span of time – a day, maybe two by the night cycles on Starkiller Base – you experience a lot of firsts. Your first time on Jakku. Your first real mission. Your first casualty. Your first friend not born and bred and programmed into the First Order like you were. Your first time in a TIE fighter. Your first crash. And you meet a girl for the first time who gives you all sorts of feelings that you had never even known existed (were those really a thing? did they mean something?).
It's a lot for you to take in. You sort of hope you can catch your breath before you start experiencing more new things again.
You've been captured before.
There's a reason that you fly mostly solo on these things. You're not all that great at avoiding trouble; you're great at getting out of it, but there seems to be a disconnect in the middle somewhere when other people get involved. It's like they didn't read the handbook of “Poe Dameron always brings his man home”, and go straight to freaking out and generally making things ten times as difficult as they otherwise would be if they just stayed calm and rational. It's why the General authorizes your requests to go out alone, even though it's standard procedure to bring backup and you wouldn't mind the company.
Finn is the first person you've worked with who was actually useful in a crisis. Sure, he did the whole “freak the hell out” thing; but he panicked, he got over it, and he got to work. It figures that the one time someone actually trusted you to get them out alive you had to crash.
It's a minor setback. You can't have everything.
This has never happened before.
The Force has always guided you, made you strong. Whatever you've set your mind to you have accomplished (except for rooting out your uncl—rooting out Luke Skywalker), whether it be learning a new technique or identifying a traitor or retrieving a piece of information. Never before have you had so many slip-ups, mistakes, near misses. Not all of them were within your control, but they should have been. You're going to have to do better than that from now on.
Failure isn't an option. It will not happen again.