It feels as though both Gideon and Bedelia are substitutes for Will--Bedelia especially, who's basically Hannibal's consolation prize. I think he resents her for that considerably. Will Graham wouldn't be terrified of being eaten, and Will Graham wouldn't be pretending not to be a part of things--he would have been fully committed to the murder spree, in Hannibal's mind. And so beneath that exterior he's pretty fucking pissed at her and upset that this is what he has to settle for. He's not not going to play mind games with her, because hey, she's there, but I think he's very disappointed in her skill as an opponent. She was pretty good in her home after she finds Hannibal in the shower, and that's probably one reason he decided to take her with him; but her attempt to run out on him after the lecture is strictly amateur hour. What he says and does after that is intended to rub her nose in it.
From one perspective, Bedelia is too isolated by Hannibal to be with him on the train; from another, the point of Hannibal alone on the train is that Hannibal is always alone now, because he left his true companion bleeding on the floor back in Baltimore. The European trip has lost some of its appeal, and so he turns from his "peace" to elaborate murders once again (where prior to this, it seems as though he has only "disappeared" people in Europe, rather than staging their corpses). Each elaborate death display on the show has, in one way or another, been a form of communication, a twisted cry from a damaged heart. Hannibal's "meat heart" is perfect, carefully crafted and presented as if to deny that his own is broken; but either way, it stands alone. After a period of silence, Hannibal has begun to speak again, and it's only a matter of time before someone back home starts to listen.