Jon's glad that Selene has Sansa's approval too, because that means Sansa won't bother him about his choice. He has enough to worry about without his sister and his wife fighting over him. Which is why he had asked Sansa for her help in the first place; some trouble could have been avoided if he had just listened to her last time.

Now he knows that she's doing it on purpose, and he has to admit he likes it. He spent his entire life not really having a place in Westeros, and while he has one now, he's still adjusting to it. Along with not having a place, he had sometimes struggled to feel like someone cared about him (except for Ned; he never doubted how Ned felt about him). It sends a thrill down his spine to have that feeling again, the thought that maybe someone can feel that way about him again.

"You can call me by my name." Which she obviously is aware of, since she's done it already. But now it's official that she can do so. "If we're going to move on to the practical lessons, we'll need to go somewhere more private. We can have some wine sent up."