Xiao Shi was threatening them!
As a Secret Guardian from the Forbidden Palace, they would only obey the words of the Emperor. They would never listen to the words of anyone else.
But, the Emperor had more people to take care of other than the Secret Guardians, and they included both the Empress and Grand Empress.
If Xiao Shi really went and reported to them, even if the Emperor forgave them, the Deputy Commander would definitely punish them.
Xiao Shi's words were pointing at their weakness.