Mal is not what Lydia had been expecting when she became a housecarl.
It's not just that Malene is the Dragonborn, though that was surprise enough itself. It's simply that she fears Mal is darker than she should be, just a touch more in line with the Daedric than the Divine.
Lydia has watched her thane rise to the top of the Dark Brotherhood, take Alduin's place among the dragons, even carouse with the Prince of debauchery himself, and Lydia can't pretend it doesn't scare her.
It's not a housecarl's place to judge her thane, but Lydia fears for Malene.