Morgana says nothing, in fact, she doesn't even react. Why does she do such a thing? It is her way of making sure she does not acknowledge his lecturing (the least effective way known to make Morgana be cooperative) or show any agreement with his argumentation.

He may have his morality, and she has hers. One pillar of her morality is being responsible for one's own protection -- or another's if the other is too stubborn to carry a weapon of his own.

So, all she does is comment, "Perhaps one of the other doors will lead us to out desired destination," and head out the door.