It's important to note that the female lead has her own biases, which is what makes her compelling because she's not a perfect rational being master at manipulation.
She doesn't understand why the favourability goes up in many occasions, and she is severely distrustful due to her trauma, even when characters really had a change of heart and try to make amends (Emily, Head Butler), meet her halfway (Duke, Derrick), or were straight up decent (Vinter).
In this situation, because she sympathizes and relates to Penelope so much, she theorizes (I can't stress enough that this is just her own personal interpretation) that Penelope must have made this clumsy prayer as an immature kid because she didn't want to lose this new life. But she doesn't acknowledge that Reynold was also a kid, and hearing this stranger pray "good riddance" of your disappeared sister is just the worst first impression.
Does it justify his years of bullying? No. But you can understand how he became the way he is, which in turn led to pre-isekai Penelope being as she was, because both never resolved a misunderstanding they had as kids.
Female Lead not defusing the situation also makes sense since she's reminded of how she never stood up to her bullying brothers in Korea and this situation where Reynold deliberately pesters her painfully reminds her of that.