She's heavily guarded with "real people" and she was only letting herself go and being vulnerable in the fantasy with a "person" who only exists when she allows it.
Which reminds me.
The actor who plays Victor (can't remember his name right now) was fantastic in this episode. As is he in almost every episode of this show. In the first few episodes, when he's introduced as the Russian mob character, we really believe that's his character. Then he's Victor, then he's DeWitt's lover, and in Season 2 there is an episode where he gets:
He's really one of the best actors on the show.