I'm guessing that Lunasa is worried that Merlin will get tortured by the Myouren crew for kidnapping Kyouko, and the negative publicity she might get as the result of the kidnapping fiasco.
I would be too. The media can take your job away, inspire civil lawsuits that take away all of your possessions, or encourage rioters to come in and ransack your home and NTR your waifu. And no one ever holds the media responsible. That is the power of the press. Ayayaya.