Breathing is so much easier when he's being instructed to. His attention can stay focused on it much more properly when he's been given it as a task rather than a general admonition.

"...may..." Horatio is fairly certain she'll say no. He can't stop himself from asking. "...may I go-- look for him?"

The search party hadn't waited for him. In fact, the search party hadn't allowed him to join them, shoving him into this office instead.