Pyrrha isn't necessarily embarrassed about what she'd been doing just then, but she prefers to keep her training for her own powers mostly quiet. Regaining her semblance is her own issue, after all - she doesn't want to burden anyone else with that.

"No, we don't have anything like them on Remnant. But I do have the Chocobo Knight Job in storage, so I thought it would be a good idea to get one of my own. Are there red ones?"