Nathaniel was not one to pry into the other guild members' lives; to each their own. But he had reason to believe that a demon had imprisoned your will. How else could your sudden strange behaviour be explained?

He was no ordained priest, but God had graced him with an ability only he possessed, leading him to believe that he was fit to perform an exorcism if deemed necessary.

Not wanting to resort to drastic measures (or provoke a violent reaction from whatever possessed you), Nathaniel hid crucifixes in your room on the Moby Dick to attempt to repel the forces that have overtaken you. He even read an occasional prayer by your door while you slept. But nothing changed. And all the objects of protection he left at your door were being taken down.

Seems like the situation cannot be resolved quietly. He had to confront you in hopes of getting you to agree to undergo an exorcism.

"What do you mean you're not possessed?" Were you pulling his leg or was the demon trying to fool him? Perhaps the entity had more control over you than he thought. Or perhaps this was a result of him waking you up in the middle of the night to offer an exorcism.