He is wondering about the leadership piece, not thinking her a cult leader necessarily, but curious about the context there, and hoping that power wasn't something that corrupted her. Not that she seems like the kind of person who would abuse power, but... All those adoring people can go to your head, Finnick knows from experience. The part about chess pieces is concerning, too, as it reminds him a little too much of Snow.

"No? What happened? It didn't work out?" His tone is still simply curious.