Philomena likely knows how competent he is, but that doesn't mean he's invincible. They were facing the DEMON KING AND HIS ARMY with only four people. Anyone would believe that he died trying to fight ALL BY HIMSELF, while letting his comrades escape. And Philomena's behavior after receiving the news is understandable, given her situation. You can't expect people to stay composed after losing a loved one. She's only human, for heaven's sake.